Price and volatility transmissions between oil and selected agricultural commodities

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F22%3A91328" target="_blank" >RIV/60460709:41110/22:91328 - isvavai.cz</a>
Result on the web
<a href="https://ap.pef.czu.cz/en/r-12193-conference-proceedings" target="_blank" >https://ap.pef.czu.cz/en/r-12193-conference-proceedings</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Price and volatility transmissions between oil and selected agricultural commodities
Original language description
Prices for food products and energy resources are interrelated currently. Unfortunately global oil market players such as the Russian Federation, Saudi Arabia and Canada can manipulate prices for oil and consequently global prices for food products. The aim of this paper is to analyze impact of crude oil price on the main agricultural products. The authors made high level review meaningly in order to obtain global view of the problem. In this paper, monthly data for oil, wheat, soybeans and rice for almost 40 years was analyzed to find interrelationship between them. Data was taken from World bank in constant prices in UDS. It allows avoiding impact of inflation. Johansen cointegration test was chosen for VECM model with long-run cointegration. The model initiated impulse response analysis and short run prognosis. The results revealed that dependence of wheat and soybeans from oil price did really exist. However, the opposite dependence of oil from rice price exists too.
Czech name
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Czech description
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Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
PROCEEDINGS of the 31th International Scientific Conference
ISBN
978-80-213-3211-9
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
101-112
Publisher name
Neuveden
Place of publication
Czech University of Life Sciences Prague
Event location
Czech University of Life Sciences Prague
Event date
Sep 15, 2022
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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