Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/104142


Title: The Co-movement between Oil and Agricultural Commodity Prices: Evidence from the Emerging Market of China
Authors: 方中柔;李文傑;張景福
Fang, Chung-Rou;Lee, Wen-Chieh;Chang, Ching-Fu
Keywords: oil price;agricultural commodity prices;BRIC;China;Granger causality
Date: 2014-06
Issue Date: 2016-11-21 17:02:29 (UTC+8)
Abstract: Although much empirical research has examined the relationship between oil price changes and economic activity it is surprising that little research has been conducted on the relationship between oil price shocks and agricultural markets in large-sized emerging industrial countries. Therefore, the main goal of this study is to fill this gap in the literature by analyzing this issue in more detail by using weekly data for China covering the period from September 2004 to September 2012. To this end, the Toda-Yamamoto causality approach and impulse response analysis method are applied to identify the long- and short-run interrelationships. Our results are mixed: we infer that the fluctuations in fuel oil prices have a short-term effect on the dynamics of agricultural products in China; however, there are no significant long-term effects.
Relation: Issues & Studies,50(2),111-141
Data Type: article
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