Modelling the symmetric and asymmetric relationships between oil prices and those of corn, barley, and rapeseed oil

被引:26
作者
Eissa, Mohamad Abdelaziz [1 ]
Al Refai, Hisham [1 ]
机构
[1] Qatar Univ, Coll Business & Econ, Dept Finance & Econ, Doha, Qatar
关键词
Nonlinear ARDL; Agricultural commodities; Oil prices; Asymmetric cointegration; AGRICULTURAL COMMODITY PRICES; CRUDE-OIL; ERROR-CORRECTION; NATURAL-GAS; FOOD-PRICES; LONG-RUN; VOLATILITY; COINTEGRATION; IMPACT; ENERGY;
D O I
10.1016/j.resourpol.2019.101511
中图分类号
X [环境科学、安全科学];
学科分类号
08 ; 0830 ;
摘要
This study, using linear and nonlinear Autoregressive Distributed Lag (ARDL) Models, investigates the dynamic linkages between oil prices and agricultural commodities. The results from the linear model show that barley, corn and rapeseed oil do not in the long run co-move with oil prices. When we use the nonlinear ARDL Model to overcome the symmetry problem and re-estimate the dynamic relationship, our results show that barley, corn and rapeseed oil co-move with oil prices in the long run; thus, the nonlinear ARDL better specifies the dynamic relationship. The effects of the dynamic multipliers show that barley, corn, and rapeseed oil prices respond rapidly and strongly to the cyclical downturns of oil prices in the short run, but fully adjust to the new equilibrium when the process is relatively prolonged.
引用
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页数:9
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