The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol
DOI:
https://doi.org/10.15678/ZNUEK.2015.0940.0408Słowa kluczowe:
ceny towarów, metoda Tody-Yamamoty, przyczynowość w sensie Grangera, regresje ruchomeAbstrakt
Tytuł artykułu: Zastosowanie rolowanego testu przyczynowości do analizy zależności między cenami kukurydzy, ropy naftowej i etanolu
Celem artykułu jest analiza zależności przyczynowych pomiędzy cenami kukurydzy, ropy naftowej i etanolu. Badanie krótkookresowych zależności przyczynowych przeprowadzono w ramach analizy przyczynowości w sensie Grangera na danych tygodniowych z okresu 5 stycznia 2007-11 kwietnia 2014 r. z wykorzystaniem regresji ruchomych (rolling regresion) do modelu VAR, który zaproponowali H.Y. Toda i T. Yamamoto w 1995 r. Zastosowanie procedury ruchomych regresji do zmodyfikowanego testu przyczynowości (MWALD) pozwala na sprawdzenie, czy relacje przyczynowe pomiędzy analizowanymi cenami są stabilne w czasie. Uzyskane wyniki pozwalają stwierdzić, że związki między cenami surowców energetycznych i cenami towarów rolnych ulegają zmianie w analizowanym okresie. Wyniki badań wskazują, że ceny kukurydzy są przyczyną w sensie Grangera cen surowców energetycznych (ropy naftowej i etanolu). Również ceny ropy naftowej są przyczyną w sensie Grangera cen kukurydzy i etanolu. Dodatkowo stwierdzono, że ceny etanolu nie są przyczyną w sensie Grangera cen ropy naftowej i kukurydzy.
Downloads
Bibliografia
Chen S., Kuo H., Chen C. (2010), Modeling the Relationship between the Oil Price and Global Food Prices, "Applied Energy", vol. 87: 2517-2525, http://dx.doi.org/10.1016/j.apenergy.2010.02.020.
Ciaian P., Kancs A. (2011a), Food, Energy and Environment: Is Bioenergy the Missing Link? "Food Policy", vol. 36: 571-580, http://dx.doi.org/10.1016/j.foodpol.2011.06.008.
Ciaian P., Kancs A. (2011b), Interdependencies in the Energy-Bioenergy-Food Price Systems: A Cointegration Analysis, "Resource and Energy Economics", vol. 33: 326-348, http://dx.doi.org/10.1016/j.reseneeco.2010.07.004.
Dickey D., Fuller W. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, "Journal of the American Statistical Association", vol. 74: 427-431, http://dx.doi.org/10.1080/01621459.1979.10482531.
Elliott G., Rothenber T.J., Stock J.H. (1996), Efficient Tests for an Autoregressive Unit Root, "Econometrica", vol. 64: 813-836, http://dx.doi.org/10.2307/2171846.
Gardebroek C., Hernandez M. A. (2013), Do Energy Prices Stimulate Food Price Volatility? Examining Volatility Transmission between US Oil, Ethanol and Corn Markets, "Energy Economics", vol. 40: 119-129, http://dx.doi.org/10.1016/j.eneco.2013.06.013.
Haixia W., Shiping L. (2013), Volatility Spillovers in China's Crude Oil, Corn and Fuel Ethanol Markets, "Energy Policy", vol. 62: 878-886, http://dx.doi.org/10.1016/j.enpol.2013.07.026.
Harri A., Nalley L., Hudson D. (2009), The Relationship between Oil, Exchange Rates, and Commodity Prices, "Journal of Agricultural and Applied Economics", vol. 41: 501-510, http://dx.doi.org/10.1017/S1074070800002959.
Kilian L., Park C. (2009), The Impact of Oil Price Shocks on The U.S. Stock Market, "International Economic Review", vol. 50: 1267-1287, http://dx.doi.org/10.1111/j.1468-2354.2009.00568.x.
Kristoufek L., Janda K., Zilberman D. (2012), Mutual Responsiveness of Biofuels, Fuels and Food Prices, Working Paper, Centre for Applied Macroeconomic Analysis, Australian National University, Canberra, http://dx.doi.org/10.2139/ssrn.2294754.
Kwiatkowski D., Phillips P. C. B., Schmidt P., Shin Y. (1992), Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root, "Journal of Econometrics", vol. 54: 159-178.
McPhail L. L. (2011), Assessing the Impact of US Ethanol on Fossil Fuel Markets: A Structural VAR Approach, "Energy Economics", vol. 33(6): 1177-1185, http://dx.doi.org/10.1016/j.eneco.2011.04.012.
Natanelov V., Alam M.J., McKenzie A.M., Van Huylenbroeck G. (2011), Is There Co-movement of Agricultural Commodities Futures Prices and Crude Oil? "Energy Policy", vol. 39: 4971-4984, http://dx.doi.org/10.1016/j.enpol.2011.06.016.
Natanelov V., McKenzie A. M., Van Huylenbroeck G. (2013), Crude Oil-Corn-Ethanol-Nexus: A Contextual Approach, "Energy Policy", vol. 63: 504-513, http://dx.doi.org/10.1016/j.enpol.2013.08.026.
Nazlioglu, S. (2011), World Oil and Agricultural Commodity Prices: Evidence from Nonlinear Causality, "Energy Policy", vol. 39: 2935-2943, http://dx.doi.org/10.1016/j.enpol.2011.03.001.
Nazlioglu S., Soytas U. (2011), World Oil Prices and Agricultural Commodity Prices: Evidence from an Emerging Market, "Energy Economics", vol. 33: 488-496, http://dx.doi.org/10.1016/j.eneco.2010.11.012.
Nazlioglu S., Soytas, U. (2012), Oil Price, Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis, "Energy Economics", vol. 34: 1098-1104, http://dx.doi.org/10.1016/j.eneco.2011.09.008.
Papież M., Śmiech S. (2012), Causality in Mean and Variance between Returns of Crude Oil and Metal Prices, Agricultural Prices and Financial Market Prices (in:) J. Ramík, D. Stavárek (eds), Proceedings of 30th International Conference Mathematical Methods in Economics, Silesian University, School of Business Administration, Karviná: 675-680.
Qiu C., Colson G., Escalante C., Wetzstein M. (2012), Considering Macroeconomic Indicators in the Food before Fuel Nexus, "Energy Economics", vol. 34: 2021-2028, http://dx.doi.org/10.1016/j.eneco.2012.08.018.
Rambaldi A. N., Doran H. E. (1996), Testing for Granger Non-causality in Cointegrated System Made Easy, Working Papers in Econometrics and Applied Statistics, 88, Department of Econometrics, University of New England.
Saghaian S. H. (2010), The Impact of the Oil Sector on Commodity Prices: Correlation or Causation? "Journal of Agricultural and Applied Economics", vol. 42: 477-485, http://dx.doi.org/10.1017/S1074070800003667.
Serra T., Zilberman D., Gil J. M., Goodwin B. K. (2011), Nonlinearities in the US Corn-ethanol-oil-gasoline Price System, "Agricultural Economics", vol. 42(1): 35-45, http://dx.doi.org/10.1111/j.1574-0862.2010.00464.x.
Śmiech S., Papież M. (2013), Fossil Fuel Prices, Exchange Rate, Stock Market: A Dynamic Causality Analysis on the European Market, "Economics Letters", vol. 118: 199-202, http://dx.doi.org/10.1016/j.econlet.2012.10.010.
Toda H. Y., Yamamoto T. (1995), Statistical Inference in Vector Autoregressions with Possibly Integrated Processes, "Journal of Econometrics", vol. 66: 225-250, http://dx.doi.org/10.1016/0304-4076(94)01616-8.
Trujillo-Barrera A., Mallory M., Garcia P. (2012), Volatility Spillovers in US Crude Oil, Ethanol, and Corn Futures Markets, "Journal of Agricultural and Resource Economics", vol. 37(2): 247-262.
Wixson S. E., Katchova A. E. (2012), Price Asymmetric Relationships in Commodity and Energy Markets, Paper presented at the 123rd European Association of Agricultural Economists' Seminar, Price Volatility and Farm Income Stabilisation, Dublin, February 23-24.
Zapata H. O., Rambaldi A. N. (1997), Monte Carlo Evidence on Cointegration and Causation, "Oxford Bulletin of Economics and Statistics", vol. 59(2): 285-298, http://dx.doi.org/10.1111/1468-0084.00065.
Zhang Z., Lohr L., Escalante C., Wetzstei M. (2009), Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-fuels Market, "Energies", vol. 2(2): 320-339, http://dx.doi.org/10.3390/en20200320.
Zhang Z., Lohr L., Escalante C., Wetzstein M. (2010), Food versus Fuel: What Do Prices Tell Us? "Energy Policy", vol. 38: 445-451, http://dx.doi.org/10.1016/j.enpol.2009.09.034.
Zivot E., Andrews D. (1992), Further Evidence of the Great Crash, the Oil-price Shock and the Unit-root Hypothesis, "Journal of Business and Economic Statistics", vol. 10: 251-270, http://dx.doi.org/10.1080/07350015.1992.10509904, http://dx.doi.org/10.2307/1391541
