Journal
ENERGY ECONOMICS
Volume 34, Issue 4, Pages 1098-1104Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2011.09.008
Keywords
Oil prices; Exchange rates; Agricultural commodity prices; Panel cointegration; Panel causality
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This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support for the role of world oil prices on prices of several agricultural commodities. The positive impact of a weak dollar on agricultural prices is also confirmed. (C) 2011 Elsevier B.V. All rights reserved.
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