Oil and Food Prices Co-integration Nexus for Indonesia: A Nonlinear ARDL Analysis

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....

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Bibliographic Details
Published in:International journal of energy economics and policy 2016-01, Vol.6 (1), p.82
Main Authors: Abdlaziz, Rizgar Abdlkarim, Khalid Abdul Rahim, Adamu, Peter
Format: Article
Language:English
Subjects:
Agricultural commodities
Agricultural production
Agriculture
Analysis
Biodiesel fuels
Biofuels
Commodity prices
Consumer Price Index
Consumption
Crude oil prices
Developing countries
Economic conditions
Economic growth
Energy economics
Energy prices
Food prices
Foreign exchange rates
GDP
Gross Domestic Product
LDCs
Nonlinear systems
Volatility
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Summary: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.
ISSN:2146-4553
2146-4553