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      Effect Of Oil Prices On Food prices: Time Series Analysis Using Vector Autoregressive (VAR) Model

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      ScienceOpen Preprints

      ScienceOpen

      Food Prices, World Oil Prices, Co-Integration, VAR-Model, Granger Causality, Impulse Response Function

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          Abstract

          This study examines the effect of oil prices on food prices using worldwide monthly data covering crude oil prices wheat, soybeans and rice prices from 08.2013 until 06.2017 from World-Bank-Database 2017. It specifically considers the identification of the short-term causal relationship between oil and the selected commodity prices using the Vector-Autoregressive-Model as main model and its post-estimation methods, Granger-Causality-Test and Impulse response function. The results show that there is no long run relationship between the variables but a significant causal short-term relationship between oil prices and wheat prices is confirmed. The impulse response results after a simulated shock on oil prices showed mainly negative response of soybeans prices a and persistent increase on wheat prices, for the rice prices response there was a slight increase on rice prices after the shock of oil prices. This research targets the detection of one influencing factor to food prices in order to support food security. To achieve this objective and recommend solutions research needed to further investigate the interaction of food prices with other variables.

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          Author and article information

          Journal
          ScienceOpen Preprints
          ScienceOpen
          31 May 2020
          Affiliations
          [1 ] Master of Science MSc
          Article
          10.14293/S2199-1006.1.SOR-.PPFB9W7.v1

          This work has been published open access under Creative Commons Attribution License CC BY 4.0 , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Conditions, terms of use and publishing policy can be found at www.scienceopen.com .

          The datasets generated during and/or analysed during the current study are available from the corresponding author on reasonable request.

          Statistics, Mathematics, Economics

          Food Prices, World Oil Prices, Co-Integration, Impulse Response Function, VAR-Model, Granger Causality

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