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Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test

Yıl 2022, Sayı: 74, 282 - 292, 26.10.2022
https://doi.org/10.51290/dpusbe.1160018

Öz

This study focuses on grain prices and their determinants in the case of Turkiye. The sustainability of grain prices matters for Turkiye since it is a significant grains importer due to the nutrition habits of its population and its significant processed grain products sector. Therefore, it is vital to portray the relationship between grain prices and their determinants. We employed a detailed causality analysis between wheat, durum wheat, corn, rye, rice, and barley prices and their significant determinants: crude oil and reel effective exchange rates (REER) between January 2003 and December 2020. We first examined unit root properties of the variables with traditional tests and more advanced Fourier ADF and Lagrange Multiplier (LM) tests; then continued with the Fourier Toda-Yamamoto (TY) causality test. The long-term causality results suggest a unidirectional causality from REER to crude oil, wheat, corn, and rye prices; from wheat, barley, and rice prices to Brent oil prices; an ongoing bidirectional causality between REER and barley, rice, and durum wheat prices.

Kaynakça

  • Balcombe, K., & Rapsomanikis, G. (2008). Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar‐ethanol‐oil nexus in Brazil. American Journal of Agricultural Economics, 90(3), 658-668.
  • Bayramoğlu, A. T., & Yurtkur, A. K. (2015). Turkiye’de gıda ve tarımsal ürün fiyatlarını uluslararası belirleyicileri. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 15(2), 63-73.
  • Beckmann, J., and Czudaj, R. (2013). Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters? Energy Economics, 40(1), 665-678.
  • Burakov, D. (2016). Oil prices, exchange rate and prices for agricultural commodities: Empirical evidence from Russia. AGRIS on-line Papers in Economics and Informatics, 8(665-2016-45118), 33-47.
  • Campiche, J. L., Bryant, H. L., Richardson, J. W., & Outlaw, J. L. (2007). Examining the evolving correspondence between petroleum prices and agricultural commodity prices (No. 381-2016-22070).
  • Dedeoğlu, D., & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43, 67-74.
  • Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Fasanya, I. O., Odudu, T. F., & Adekoya, O. (2018). Oil and agricultural commodity prices in Nigeria: New evidence from asymmetry and structural breaks. International Journal of Energy Sector Management.
  • Food and Agriculture Organization. (2022). Turkiye at a glance. https://www.fao.org/turkey/fao-in-turkey/turkey-at-a-glance/en/
  • Fowowe, B. (2016). Do oil prices drive agricultural commodity prices? Evidence from South Africa. Energy, 104, 149-157.
  • Gilbert, C. L. (2010). How to understand high food prices. Journal of agricultural economics, 61(2), 398-425.
  • Gokmenoglu, K. K., Güngör, H., & Bekun, F. V. (2021). Revisiting the linkage between oil and agricultural commodity prices: Panel evidence from an Agrarian state. International Journal of Finance & Economics, 26(4), 5610-5620.
  • Gözgör, G., Kablamaci, B. (2014). The linkage between oil and agricultural commodity prices in the light of the perceived global risk. Agricultural Economics-Zemedelska Ekonomika, 60 (7), pp. 332-342.
  • Hervé, G., Agneta, F., & Yves, D. (2011). Biofuels and World Agricultural Markets: Outlook for 2020 and 2050. In (Ed.), Economic Effects of Biofuel Production. IntechOpen. https://doi.org/10.5772/20581
  • Hung, N. T. (2021). Oil prices and agricultural commodity markets: evidence from pre and during COVID-19 outbreak. Resources Policy, 73, 102236.
  • Karacan, S. (2021). Influence of the US and China on the Trade between Developing Country Dyads: Panel Quantile Gravity Model. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (33), 53-66.
  • Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053-69.
  • Koirala, K. H., Mishra, A. K., D'Antoni, J. M., & Mehlhorn, J. E. (2015). Energy prices and agricultural commodity prices: Testing correlation using copulas method. Energy, 81, 430-436.
  • Lucotte, Y. (2016). Co-movements between crude oil and food prices: A post-commodity boom perspective. Economics Letters, 147, 142-147.
  • Ministry of Agriculture and Forestry. (2022). Agricultural GDP and share of agriculture at current prices. https://www.tarimorman.gov.tr/SGB/Belgeler/Veriler/GSYH.pdf
  • Nazlıoğlu, S. (2011). World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy policy, 39(5), 2935-2943.
  • Nazlıoğlu, S., & Soytas, U. (2011). World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33(3), 488-496.
  • Nazlıoğlu, S., & Soytas, U. (2012). Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis. Energy Economics, 34(4), 1098-1104.
  • Olhan, E. (2012). Impoverishing agricultural sector within the scope of reforms in Turkey. X. Ulusal Tarım Ekonomisi Kongresi, 1, 145-152.
  • Pal, D., & Mitra, S. K. (2017). Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. Energy Economics, 62, 230-239.
  • Pamuk, Ş. (1988). War, State Economic Policies and Resistance by Agricultural Producers in Turkey 1939-1945. New Perspectives on Turkey, 2, 19-36.
  • Paris, A. (2018). On the link between oil and agricultural commodity prices: Do biofuels matter?. International Economics, 155, 48-60.
  • Reboredo, J. C. (2012). Do food and oil prices co-move?. Energy Policy, 49, 456-467.
  • Rezitis, A. N. (2015). The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: A panel VAR approach and causality analysis. International Review of Applied Economics, 29(3), 403-434.
  • Su, C. W., Wang, X. Q., Tao, R., & Oana-Ramona, L. (2019). Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context. Energy, 172, 691-701.
  • Turkish Grain Board. (2021). Grain sector report for 2020. https://www.tmo.gov.tr/Upload/Document/sektorraporlari/hububat2020.pdf
  • Wang, Y., Wu, C., & Yang, L. (2014). Oil price shocks and agricultural commodity prices. Energy Economics, 44, 22-35.
  • Zafeiriou, E., Arabatzis, G., Karanikola, P., Tampakis, S., & Tsiantikoudis, S. (2018). Agricultural commodities and crude oil prices: An empirical investigation of their relationship. Sustainability, 10(4), 1199.
  • Zhang, Q., & Reed, M. R. (2008). Examining the impact of the world crude oil price on China's agricultural commodity prices: the case of corn, soybean, and pork (No. 1368-2016-108438)
  • Zhang, C., & Qu, X. (2015). The effect of global oil price shocks on China's agricultural commodities. Energy Economics, 51, 354-364.
  • Zortuk, M., & Karacan, S. (2018). Energy–growth nexus revisited: an empirical application on transition countries. Environment, Development and Sustainability, 20(2), 605-623.

Tahıl Fiyatları, Ham Petrol Fiyatları ve Reel Efektif Döviz Kuru İlişkisi: Fourier Toda-Yamamoto Nedensellik Testinden Kanıtlar

Yıl 2022, Sayı: 74, 282 - 292, 26.10.2022
https://doi.org/10.51290/dpusbe.1160018

Öz

Bu çalışma Turkiye örneğinde tahıl fiyatları ve belirleyicileri üzerine odaklanmaktadır. Beslenme alışkanları ve önemli büyüklükte bir işlenmiş tahıl ürünleri sektörüne sahip olması nedeniyle tahıl fiyatlarının sürdürülebilirliği Turkiye için önemlidir. Bu nedenle buğday, durum buğdayı, mısır, çavdar, pirinç ve arpa fiyatları ile bu ürünlerin belirleyicileri olan Brent petrol fiyatları ve döviz kuru değişkenleri arasındaki ilişkiyi detaylı bir nedensellik analizi ile Ocak 2003 ve Aralık 2020 dönemini kapsayan aylık veri seti ile inceledik. İlk olarak değişkenlerin birim kök özelliklerini geleneksel testlerle ve daha gelişmiş Fourier ADF ve Lagrange Çarpanı (LM) testleri ile inceledik; daha sonra ise Fourier Toda-Yamamoto (TY) testi ile devam ettik. Uzun dönemli nedensellik analizi sonuçları Brent petrol fiyatlarındaki değişmelerin yalnızca pirinç ve durum buğday fiyatlarına yansıdığını ve döviz kuru ile tahıl fiyatları arasında bir geri besleme ilişkisi olduğunu ortaya koymaktadır. Ayrıca tahıl fiyatlarındaki değişmelerin birbirini etkilediğini tespit ettik. Bulgulara göre mısır ve pirinç fiyatlarındaki değişmeler diğer tahılları etkilerken, durum buğday, çavdar ve arpa fiyatları ise geri besleme ilişkisi içerisindedir.

Kaynakça

  • Balcombe, K., & Rapsomanikis, G. (2008). Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar‐ethanol‐oil nexus in Brazil. American Journal of Agricultural Economics, 90(3), 658-668.
  • Bayramoğlu, A. T., & Yurtkur, A. K. (2015). Turkiye’de gıda ve tarımsal ürün fiyatlarını uluslararası belirleyicileri. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 15(2), 63-73.
  • Beckmann, J., and Czudaj, R. (2013). Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters? Energy Economics, 40(1), 665-678.
  • Burakov, D. (2016). Oil prices, exchange rate and prices for agricultural commodities: Empirical evidence from Russia. AGRIS on-line Papers in Economics and Informatics, 8(665-2016-45118), 33-47.
  • Campiche, J. L., Bryant, H. L., Richardson, J. W., & Outlaw, J. L. (2007). Examining the evolving correspondence between petroleum prices and agricultural commodity prices (No. 381-2016-22070).
  • Dedeoğlu, D., & Kaya, H. (2014). Pass-through of oil prices to domestic prices: Evidence from an oil-hungry but oil-poor emerging market. Economic Modelling, 43, 67-74.
  • Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Fasanya, I. O., Odudu, T. F., & Adekoya, O. (2018). Oil and agricultural commodity prices in Nigeria: New evidence from asymmetry and structural breaks. International Journal of Energy Sector Management.
  • Food and Agriculture Organization. (2022). Turkiye at a glance. https://www.fao.org/turkey/fao-in-turkey/turkey-at-a-glance/en/
  • Fowowe, B. (2016). Do oil prices drive agricultural commodity prices? Evidence from South Africa. Energy, 104, 149-157.
  • Gilbert, C. L. (2010). How to understand high food prices. Journal of agricultural economics, 61(2), 398-425.
  • Gokmenoglu, K. K., Güngör, H., & Bekun, F. V. (2021). Revisiting the linkage between oil and agricultural commodity prices: Panel evidence from an Agrarian state. International Journal of Finance & Economics, 26(4), 5610-5620.
  • Gözgör, G., Kablamaci, B. (2014). The linkage between oil and agricultural commodity prices in the light of the perceived global risk. Agricultural Economics-Zemedelska Ekonomika, 60 (7), pp. 332-342.
  • Hervé, G., Agneta, F., & Yves, D. (2011). Biofuels and World Agricultural Markets: Outlook for 2020 and 2050. In (Ed.), Economic Effects of Biofuel Production. IntechOpen. https://doi.org/10.5772/20581
  • Hung, N. T. (2021). Oil prices and agricultural commodity markets: evidence from pre and during COVID-19 outbreak. Resources Policy, 73, 102236.
  • Karacan, S. (2021). Influence of the US and China on the Trade between Developing Country Dyads: Panel Quantile Gravity Model. Uluslararası İktisadi ve İdari İncelemeler Dergisi, (33), 53-66.
  • Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053-69.
  • Koirala, K. H., Mishra, A. K., D'Antoni, J. M., & Mehlhorn, J. E. (2015). Energy prices and agricultural commodity prices: Testing correlation using copulas method. Energy, 81, 430-436.
  • Lucotte, Y. (2016). Co-movements between crude oil and food prices: A post-commodity boom perspective. Economics Letters, 147, 142-147.
  • Ministry of Agriculture and Forestry. (2022). Agricultural GDP and share of agriculture at current prices. https://www.tarimorman.gov.tr/SGB/Belgeler/Veriler/GSYH.pdf
  • Nazlıoğlu, S. (2011). World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy policy, 39(5), 2935-2943.
  • Nazlıoğlu, S., & Soytas, U. (2011). World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33(3), 488-496.
  • Nazlıoğlu, S., & Soytas, U. (2012). Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis. Energy Economics, 34(4), 1098-1104.
  • Olhan, E. (2012). Impoverishing agricultural sector within the scope of reforms in Turkey. X. Ulusal Tarım Ekonomisi Kongresi, 1, 145-152.
  • Pal, D., & Mitra, S. K. (2017). Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. Energy Economics, 62, 230-239.
  • Pamuk, Ş. (1988). War, State Economic Policies and Resistance by Agricultural Producers in Turkey 1939-1945. New Perspectives on Turkey, 2, 19-36.
  • Paris, A. (2018). On the link between oil and agricultural commodity prices: Do biofuels matter?. International Economics, 155, 48-60.
  • Reboredo, J. C. (2012). Do food and oil prices co-move?. Energy Policy, 49, 456-467.
  • Rezitis, A. N. (2015). The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: A panel VAR approach and causality analysis. International Review of Applied Economics, 29(3), 403-434.
  • Su, C. W., Wang, X. Q., Tao, R., & Oana-Ramona, L. (2019). Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context. Energy, 172, 691-701.
  • Turkish Grain Board. (2021). Grain sector report for 2020. https://www.tmo.gov.tr/Upload/Document/sektorraporlari/hububat2020.pdf
  • Wang, Y., Wu, C., & Yang, L. (2014). Oil price shocks and agricultural commodity prices. Energy Economics, 44, 22-35.
  • Zafeiriou, E., Arabatzis, G., Karanikola, P., Tampakis, S., & Tsiantikoudis, S. (2018). Agricultural commodities and crude oil prices: An empirical investigation of their relationship. Sustainability, 10(4), 1199.
  • Zhang, Q., & Reed, M. R. (2008). Examining the impact of the world crude oil price on China's agricultural commodity prices: the case of corn, soybean, and pork (No. 1368-2016-108438)
  • Zhang, C., & Qu, X. (2015). The effect of global oil price shocks on China's agricultural commodities. Energy Economics, 51, 354-364.
  • Zortuk, M., & Karacan, S. (2018). Energy–growth nexus revisited: an empirical application on transition countries. Environment, Development and Sustainability, 20(2), 605-623.
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm ARAŞTIRMA MAKALELERİ
Yazarlar

Semih Karacan 0000-0002-2854-4144

Yayımlanma Tarihi 26 Ekim 2022
Yayımlandığı Sayı Yıl 2022 Sayı: 74

Kaynak Göster

APA Karacan, S. (2022). Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi(74), 282-292. https://doi.org/10.51290/dpusbe.1160018
AMA Karacan S. Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. Ekim 2022;(74):282-292. doi:10.51290/dpusbe.1160018
Chicago Karacan, Semih. “Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 74 (Ekim 2022): 282-92. https://doi.org/10.51290/dpusbe.1160018.
EndNote Karacan S (01 Ekim 2022) Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 74 282–292.
IEEE S. Karacan, “Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 74, ss. 282–292, Ekim 2022, doi: 10.51290/dpusbe.1160018.
ISNAD Karacan, Semih. “Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 74 (Ekim 2022), 282-292. https://doi.org/10.51290/dpusbe.1160018.
JAMA Karacan S. Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2022;:282–292.
MLA Karacan, Semih. “Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, sy. 74, 2022, ss. 282-9, doi:10.51290/dpusbe.1160018.
Vancouver Karacan S. Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2022(74):282-9.

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