Structural breaks, cointegration, and causality by VECM analysis of crude oil and food price

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dc.authorscopusid 55998338600
dc.contributor.author Pala,A.
dc.date.accessioned 2024-10-15T20:22:28Z
dc.date.available 2024-10-15T20:22:28Z
dc.date.issued 2013
dc.department Okan University en_US
dc.department-temp Pala A., Okan University, Tuzla Campus, Istanbul, 34959, Turkey en_US
dc.description.abstract 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 long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced. en_US
dc.identifier.citationcount 34
dc.identifier.endpage 246 en_US
dc.identifier.issn 2146-4553
dc.identifier.issue 3 en_US
dc.identifier.scopus 2-s2.0-84892153566
dc.identifier.scopusquality Q2
dc.identifier.startpage 238 en_US
dc.identifier.uri https://hdl.handle.net/20.500.14517/6756
dc.identifier.volume 3 en_US
dc.institutionauthor Pala,A.
dc.language.iso en
dc.relation.ispartof International Journal of Energy Economics and Policy en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 35
dc.subject Crude oil price en_US
dc.subject Food price en_US
dc.subject Structural break en_US
dc.subject VECM en_US
dc.title Structural breaks, cointegration, and causality by VECM analysis of crude oil and food price en_US
dc.type Article en_US

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