STRUCTURAL BREAKS, COINTEGRATION, AND CAUSALITY BY VECM ANALYSIS OF CRUDE OIL AND FOOD PRICE

STRUCTURAL BREAKS, COINTEGRATION, AND CAUSALITY BY VECM ANALYSIS OF CRUDE OIL AND FOOD PRICE

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This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear...

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Bibliographic Details
Main Author: Aynur Pala
Format: Article
Language:English
Published: EconJournals 2013-01-01
Series:International Journal of Energy Economics and Policy
Subjects:
Crude oil price
food price
structural break
VECM
Online Access:http://econjournals.com/index.php/ijeep/article/view/486/287

Internet

http://econjournals.com/index.php/ijeep/article/view/486/287

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