Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286139 
Title (translated): 
Vínculos de volatilidad entre precios de productos agrícolas, precios del petróleo y tipo de cambio del dólar estadounidense
Year of Publication: 
2018
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 26 [Year:] 2018 [Pages:] 71-83
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural products based on annual observations ranging from 1980 to 2015. The empirical results provide a strong evidence of long-term relationship between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support of bi-directional causal linkages among Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. The long-run causality analysis thereby implies that the oil prices and the dollar have a predictive power to forecast the agricultural prices, which could be a good tool to prioritize the allocation of resources across industries to ensure agricultural scenario in general and economic outcomes.
Subjects: 
Oil prices
exchange rates
agricultural commodity prices
panel cointegration
JEL: 
B22
C33
C51
F31
N50
Q02
Q11
Q41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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