Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana
Yıl: 2019 Cilt: 50 Sayı: 1 Sayfa Aralığı: 92 - 105 Metin Dili: İngilizce DOI: 10.17097/ataunizfd.446309 İndeks Tarihi: 04-11-2020
Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana
Öz: Lagged food prices directly cause food price rise in Ghana and indirectly by crude oil and exchange rates. Highimport prices of agricultural inputs and biofuel discovery are reasons for causality. This paper analysed the short and long-runrelationship between crude oil, exchange rate, and selected agricultural food commodity prices in Ghana. Johansen test wasapplied to lagged time periods to identify cointegration relation and error correction for long run adjustments. Weak exogeneitywas also conducted among the cointegration variables. Shocks were transferred from lagged prices to current in Ghana. Thiscauses shocks and speculations in grain markets in Ghana.
Anahtar Kelime: Gana’da Seçilmiş Gıda Fiyatları İle Makroekonomik Değişkenler Arasındaki Kısa ve Uzun Dönem İlişkinin Tahmini
Öz: Gecikmeli gıda fiyatları, Gana'da mevcut gıda fiyatlarının doğrudan yükselmesine ve dolaylı olarak da ham petrol ve döviz kurlarındaki dalgalanmalara neden olmaktadır. Tarımsal girdilerin yüksek ithalat fiyatları ve biyoyakıtların ortaya çıkması nedenselliğin ana kaynaklarıdır. Bu çalışmada, Gana'daki seçilmiş bazı tarımsal ürün fiyatları ile ham petrol, döviz kuru arasındaki kısa ve uzun dönem ilişkisi analiz edilmiştir. Eşbütünleşme ilişkisi ve uzun dönem hata düzeltme dengesi için gecikmeli sürelere Johansen testi uygulanmıştır. Eşbütünleşme değişkenleri arasında zayıf ekojenlik de varsayılmıştır. Gana'daki ekonomik ve ekonomik olmayan şokların gecikmeli fiyatlardan şimdiki mevcut fiyat düzeylerine aktarıldığı tespit edilmiştir. Bu durum, Gana'daki tahıl pazarlarında yeni şoklara ve spekülasyonlara neden olmaktadır.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
- Abbot, P.C., Hurt C and Tyner W.E., 2011. What’s Driving Food Prices in 2011? Farm Foundation, Issue Report. www.farmfoundation.org (Accessed February 14, 2017).
- Abbot, P.C., Hurt C. and Tyner W.E., 2009. What’s driving food prices? Issue Reports 48495, Farm Foundation.
- Abdelradi, F., Serra T., 2015. Asymmetric Price Volatility Transmission between food and energy markets: The case of Spain. Agricultural Economics, 46, 503-513.
- Adom, P.K., 2014. Determinants of food availability and access in Ghana: what can we learn beyond the regression results? Agricultural Economics, 116, 153-164.
- Ahmadi, M.N., Behmiri B., and Manera M., 2016. How is volatility in commodity markets linked to oil price shocks? Energy Economics, 59, 11-23.
- Alemaehu, G., Nudung’u, N., and Zerfu, D., 2011. Applied Time Series Econometrics: A Practical Guide for Macroeconomic Researchers with a Focus on Africa. Central Bank of Kenya and African Economic Research Consortium and Addis Ababa University, Ethiopia.
- Amikuzuno, J., 2010. Spatial Price Transmission Analysis in Agricultural Markets: Does the Data Frequency Improve our Estimation? Paper presented at the Joint 3rd African Association of Agricultural Economists (AAAE) and 48th Agricultural Economists Association of South Africa (AEASA) Conference, Cape Town, South Africa, September 19-23, 2010.
- Anderson, M., and Mcternan, B.A., 2014. Ghana’s cocoa farmers turn to smuggling as profits dwindle. Global Development, The Gurdian, (Accessed August 13 2016 12.25 BST)
- Angelucci, F., Balie, J., Gourichon, H., Aparis, A.M., and Witwer, M., 2013. Monitoring and Analysing Food and Agricultural Policies in Africa. MAFAP Synthesis Report 2013. MAFAP Synthesis Report Series, FAO, Rome, Italy.
- Brooks, C., 2014. Introductory Econometric for Finance, Third Edition, Cambridge University Press, ISBN 978-1-107- 03466-2.
- Cairns, A.P., Meilke, K.D., 2012. The next-11 and the brics: Are they the futures markets for agrifood trade? Working Papers 122737, Canadian Agricultural Trade Policy Research Network.
- Campiche, J., Bryant, H., Richardson, J., Outlaw, J., 2007. Examining the Evolving Correspondence between Petroleum Prices and Agricultural Commodity Prices. Paper Presented at the American Agricultural Economics Association Annual Meeting, Portland, July 29-August 1.
- Chen, P., and Khanna, M., 2013. Food vs. Fuel: The effect of biofuel policies. American Journal of Agricultural Economics, 95 (2), 289-295.
- Condon, N,, Klemick, H., and Wolverton, A., 2013. Impacts of ethanol policy on corn prices: A review and meta-analysis of recent evidence, selected paper at the Agriculture and Applied Economics Associations 2013 AAEA and CAES Joint Annual Meeting.
- Cooke, B., & Robles, M., 2009. Recent food price movements: A time series analysis. IFPRI discussion papers 942, International Food Policy Research Institute (IFPRI).
- Dickey, D., and Fuller, W., 1979. Distribution of the estimators for autoregressive time series with a unit root. American Statistical Association, 74, 427-431.
- Dillion, B.M., and Barret, C.B., 2015. Global Oil Prices and Local Food Prices: Evidence from East Africa. Working Paper, Atkinson Center for s Sustainable Future, Cornell University.
- Durevall, D., Loening, J.L., and Birru, Y.A. (2013). Inflation dynamics and food prices in Ethiopia. Development Economics, 104, 89-106.
- Engle, R.F., and Granger, C.W.J., 1987. Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55 (2), 251-276.
- Enu, P., and Attah-Obeng, P., 2013. Which Macro Factors Influences Agricultural Production in Ghana? Academic Research International, 4(5), 2223-9553.
- Fernandez, J.M., 2014. Long Run Dynamics of world food, crude oil prices and macroeconomic variables: A cointegration VAR Analysis. Department of Economics, University of Bristol, Discussion Paper 14/646.
- Ghana Statistical Service (GSS), 2008. Ghana Living Standards Survey Report of the Fifth Round (GLSS 5), Ghana Statistical Service.
- Granger, C.W.J., 1986. Developments in the Study of Cointegrated Economic Variables. Oxford Bulletin of Economics and Statistics, 48, 3.
- Hamilton, J.D., 2009. Causes and consequences of the oil shock of 2007-2008. Working paper 15002, National Bureau of Economic Research.
- Hamilton, J.D., and Wu, J.C., 2014. Effects of index-fund investing on commodity futures prices. Working Paper 19892, National Bureau of Economic Research.
- Heady, D., and Fan, S., 2008. Anatomy of a crisis: the causes and consequences of surging food prices. Agricultural Economics, 39, 375-391.
- Henderson, J., 2011. Building U.S. agriculture exports: one bric at a time. Federal Reserve Bank of Kansas City, Economic Review I, 63-82.
- Institute of Statistical, Social and Economic Research (ISSER) (2013). The State of the Ghanaian Economy in 2012. University of Ghana, Legon, Ghana.
- Isaac, A.Y., 2012. Spatial price Transmission in the Regional Maize Markets in Ghana. Munich Personal RePEc Archive 49720.
- Johansen, S., 1988. Statistical Analysis of Cointegration Vectors. Economic Dynamics, 12, 231-254.
- Josling, T., Anderson, K., Schmitz, A., and Tangermann, S., 2010. Understanding International trade in agricultural products: One hundred years of contributions by agricultural economist. American Journal of Agricultural Economics, 92 (2), 424-446.
- Kilian, L., and Hicks, B., 2013. Did the unexpected strong economic growth cause the oil price shock of 2003-2008? Journal of Forecasting, 32 (5), 385-394.
- Kilian, L., and Murphy, D.P., 2013. The Role of inventories and speculative trading in the global market for crude oil. Applied Economics, 91 (5), 1194-1200.
- Lardic, S., and Mignon, V., 2008. Oil Prices and Economic Activity: Asymmetric Cointegration Approach. Energy Economics, 30 (3), 847-855.
- Mitchell, D., 2008. A note on rising food prices. Policy Research Working Paper Series 4682, The World Bank.
- Moosa, I.A., and Vaz, J.J., 2016. Cointegration, error correction and exchange rate forecasting. International Financial Markets, Institutions & Money, 44, 21-34.
- Myers, R.J., 1994. Time series econometrics and commodity price analysis: A Review. Agricultural Economics, 62,167–181
- Natanelove, V., Alam, M.J., Mckenzie, A.M., and Huylenbroeck, G.V., 2011. Is there co-movement of agricultural commodities futures prices and crude oil? Energy Policy, 39, 4971-4984.
- Nazlioglu, S., and Soytas, U., 2012. Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis. Energy Economics, 34, 1098-1104.
- Nazlioglu, S., 2011. World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy Policy, 39, 2935-2943.
- Nortey, E.N.N., Ngoh, D.D., Doku-Amposah, K., and OfoiBoateng, K., 2015. Modelling Inflation Rates and Exchange Rates in Ghana: Application of Multivariate GARCH Models. Springer-Plus, DOI 10.1186/s40064-015-0837-6.
- Obyelu, A.E., and Salau, A.S., 2010. Agricultural Response to Prices and Exchange Rate in Nigeria: Application of CoIntegration and Vector Error Correction Model (VECM). Agricultural Science, 1 (2), 73-81.
- Onuamah, J.A., Onumah, E.E., Al-Hassan, R., and Brummer, B., 2013. Meta-frontier analysis of organic and conventional cocoa production in Ghana. Agricultural Economics,- Czech, 59 (6), 271-280.
- Osei-Asare, Y.B., and Eghan, M., 2013. Food Inflation and Consumer Welfare in Ghana. Food and Agricultural Economics, 1 (1), 27-39.
- Pen, Y.L., and Sevi, B., 2013. Futures trading and the excess comovement of commodity prices. Working paper 1301, Aix-Marseille School of Economics, Marseille, France.
- Phillips, A.W.H., 1954. Stabilization policy in a closed economy. Economic Journal, 64, 290–333.
- Rude, J., and An, H., 2015. An Explaining Grain and Oilseed Price Volatility: The Role of Export Restrictions. Food Policy, 57, 83-92.
- Sichei, M., 2005. Johansen Cointegration III. Econometrics Part 1. Unpublished manuscript, Department of Economics, Faculty of Economics and Management Sciences, University of Pretoria, South Africa.
- Tang, K., and Xiong, W., 2010. Commodity terms of trade: The history of booms and busts. IMF Working paper 16385, National Bureau of Economic Research.
- Tyner, W.E., 2010. The integration of energy and agricultural markets. Perspective and Policy, 33 (1), 32-58.
- Wang, Y., Wu, C., and Yang, L., 2014. Oil price shocks and agricultural commodity prices. Energy Economics, 44, 22- 35.
- Wodon, Q., Tsimpo, C., and Coulombe, H., 2008. Assessing the Potential Impact on Poverty of Rising Cereal Prices. World Bank Human Development Network Working Paper 4740.
- Yeboah, O., Shaik, S., and Quaicoe, O., 2012. Evaluating the Causes of Rising Food Prices in Low and Middle Income Countries. Southern Agricultural Economics Association, 44, 411-422.
- Zhang, W., and Law, D., 2010. What drives china’s food-price inflation and how does it affect the aggregate inflation? Working papers 1006, Hong Kong Monetary Authority.
| APA | Damba O, Birinci A, Bilgic A (2019). Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. , 92 - 105. 10.17097/ataunizfd.446309 |
| Chicago | Damba Osman T.,Birinci Avni,Bilgic Abdulbaki Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. (2019): 92 - 105. 10.17097/ataunizfd.446309 |
| MLA | Damba Osman T.,Birinci Avni,Bilgic Abdulbaki Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. , 2019, ss.92 - 105. 10.17097/ataunizfd.446309 |
| AMA | Damba O,Birinci A,Bilgic A Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. . 2019; 92 - 105. 10.17097/ataunizfd.446309 |
| Vancouver | Damba O,Birinci A,Bilgic A Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. . 2019; 92 - 105. 10.17097/ataunizfd.446309 |
| IEEE | Damba O,Birinci A,Bilgic A "Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana." , ss.92 - 105, 2019. 10.17097/ataunizfd.446309 |
| ISNAD | Damba, Osman T. vd. "Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana". (2019), 92-105. https://doi.org/10.17097/ataunizfd.446309 |
| APA | Damba O, Birinci A, Bilgic A (2019). Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 50(1), 92 - 105. 10.17097/ataunizfd.446309 |
| Chicago | Damba Osman T.,Birinci Avni,Bilgic Abdulbaki Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. Atatürk Üniversitesi Ziraat Fakültesi Dergisi 50, no.1 (2019): 92 - 105. 10.17097/ataunizfd.446309 |
| MLA | Damba Osman T.,Birinci Avni,Bilgic Abdulbaki Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. Atatürk Üniversitesi Ziraat Fakültesi Dergisi, vol.50, no.1, 2019, ss.92 - 105. 10.17097/ataunizfd.446309 |
| AMA | Damba O,Birinci A,Bilgic A Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. Atatürk Üniversitesi Ziraat Fakültesi Dergisi. 2019; 50(1): 92 - 105. 10.17097/ataunizfd.446309 |
| Vancouver | Damba O,Birinci A,Bilgic A Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana. Atatürk Üniversitesi Ziraat Fakültesi Dergisi. 2019; 50(1): 92 - 105. 10.17097/ataunizfd.446309 |
| IEEE | Damba O,Birinci A,Bilgic A "Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana." Atatürk Üniversitesi Ziraat Fakültesi Dergisi, 50, ss.92 - 105, 2019. 10.17097/ataunizfd.446309 |
| ISNAD | Damba, Osman T. vd. "Estimation of Short and Long-run Relationship between Selected Food Prices and Macroeconomic Variables in Ghana". Atatürk Üniversitesi Ziraat Fakültesi Dergisi 50/1 (2019), 92-105. https://doi.org/10.17097/ataunizfd.446309 |
