The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol

Monika Papież

Streszczenie


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.


Słowa kluczowe


ceny towarów, metoda Tody-Yamamoty, przyczynowość w sensie Grangera, regresje ruchome

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Literatura


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DOI: https://doi.org/10.15678/ZNUEK.2015.0940.0408