Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price

Authors

  • Aynur Pala Okan University

Abstract

This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced. Keywords: Crude oil price; food price; structural break; VECM JEL Classifications: C32; Q10; Q40

Downloads

Download data is not yet available.

Downloads

Published

2013-05-28

How to Cite

Pala, A. (2013). Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. International Journal of Energy Economics and Policy, 3(3), 238–246. Retrieved from https://econjournals.org.tr/index.php/ijeep/article/view/486

Issue

Vol. 3 No. 3 (2013)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.