Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis

Autor: Abdlaziz, Rizgar Abdlkarim, Rahim, Khalid Abdul, Adamu, Peter
Jazyk: angličtina
Rok vydání: 2016
Předmět:
Zdroj: International Journal of Energy Economics and Policy, Vol 6, Iss 1, Pp 82-87 (2016)
Volume: 6, Issue: 1 82-87
International Journal of Energy Economics and Policy
ISSN: 2146-4553
Popis: This paper examines the relationship between the prices of oil and food price for Indonesia using Nonlinear Autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of GDP and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long and short run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study.
Databáze: OpenAIRE
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