The Relationship between Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates: A Panel VAR Approach and Causality Analysis
International Journal of Applied Economics (Forthcoming)
47 Pages Posted: 16 Dec 2014
Date Written: December 15, 2014
This study examines the relationship between crude oil prices, US dollar exchange rates and thirty selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of agricultural commodity prices (as well as specific agricultural commodity sub-groups) and fertilizer prices with monthly observations of the period from June 1983 to June 2013. The empirical results of the present study indicate that crude oil prices as well as US dollar exchange rates affect international agricultural commodity and fertilizer prices. Furthermore, contrary to the findings of several studies in the literature, the present study supports bidirectional panel causality effects between crude oil prices and international agricultural prices as well as between US exchange rates and international agricultural prices.
Keywords: Agricultural commodity prices, Oil prices, Exchange rates, Panel VAR, Panel causality
JEL Classification: O13, C01, C32
Suggested Citation: Suggested Citation