Open AccessPANEL COINTEGRATION ANALYSIS IN DETERMINING RELATIONSHIP OF AGRICULTURAL COMMODITY AND OIL FUEL PRICE IN INDONESIA
Author(s) -
Marizsa Herlina
Publication year - 2020
Publication title -
indonesian journal of statistics and applications
Language(s) - English
Resource type - Journals
ISSN - 2599-0802
DOI - 10.29244/ijsa.v4i2.662
Subject(s) - cointegration , economics , commodity , exchange rate , granger causality , agriculture , oil price , palm oil , panel data , agricultural economics , monetary economics , econometrics , agricultural science , environmental science , market economy , ecology , biology
This paper contributes to explain the relationship between oil fuel prices, oil price, the exchange rates, and agricultural commodity prices in Indonesia by using panel cointegration. Thus, this paper studied the short- and long-run relationships between oil fuel prices, oil prices, exchange rates, and agricultural commodity prices using the panel cointegration and causality analysis on five main agricultural commodities in Indonesia (i.e. rice, beef, palm oil, red chili, and sugar). The study was conducted using weekly agricultural, oil fuel, oil prices, and exchange rates from October 2014 until May 2016. The results showed that the oil fuel prices and the exchange rate had a long-run impact on agricultural commodity prices. The direction of the causality had also been determined. The oil fuel prices, oil prices, and exchange rate altogether had a unidirectional Granger causality to all of the agricultural commodity prices except beef and palm oil prices in the long-run.