The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol
The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol
Author(s): Monika PapieżSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
Keywords: Granger causality; rolling regression; Toda-Yamamoto tests; commodity prices
Summary/Abstract: The objective of the paper is to analyse causality between the prices of corn, crude oil and ethanol. The analysis conducted for the paper is a dynamic one, and the data used consist of weekly futures prices of crude oil, corn, and ethanol from January 5, 2007 till April 11, 2014. The assessment of causal links between the prices of corn, crude oil and ethanol is carried out with the use of rolling regression applied to the augmented-VAR framework proposed by Toda and Yamamoto in 1995. The application of the rolling regression procedures in the modified Wald (MWALD) causality test allows for the investigation of the persistence of stability in causal relations between the prices analysed. The results obtained indicate that the linkages between energy prices and agricultural commodity prices changed in the period analysed. The results of Granger causality tests reveal that in the analysed period the price of corn influences the price of energy (crude oil and ethanol). Also, crude oil prices influence corn prices and ethanol prices. However, ethanol prices were not observed to influence crude oil prices or corn prices.
Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
- Issue Year: 940/2015
- Issue No: 04
- Page Range: 101-116
- Page Count: 16