Oil and agricultural commodity prices in Nigeria: New evidence from asymmetry and structural breaks
International Journal of Energy Sector Management
ISSN: 1750-6220
Article publication date: 6 November 2018
Issue publication date: 15 May 2019
Abstract
Purpose
This paper aims to model the relationship between oil price and six major agricultural commodity prices using monthly data from January 1997 to December 2016.
Design/methodology/approach
The authors use both the linear autoregressive distributed lag by Pesaran et al. (2001) and the nonlinear autoregressive distributed lag by Shin et al. (2014), and they also account for structural breaks using the Bai and Perron (2003) test that allows for multiple structural changes in regression models.
Findings
These findings are discernible from the authors’ analyses. First, the linear analysis indicates a significant positive effect of oil prices on the agricultural commodity prices, which supports evidence on the non-neutrality hypothesis. Second, oil price asymmetries seem to matter more when dealing with agricultural commodity prices, except for groundnut. Third, it may be necessary to pre-test for structural breaks when modelling the relationship between oil price and agricultural prices regardless of the commodity being analysed. Fourth, the asymmetric effect for the agricultural commodity prices is non-neutral to oil prices, except for rice in the case of structural breaks.
Originality/value
This paper contributes to the on-going debate on the oil–agricultural commodity nexus using the recent technique of asymmetry and also considering the role structural breaks play in the relationship between oil price and agricultural commodity prices.
Keywords
Citation
Fasanya, I.O., Odudu, T.F. and Adekoya, O. (2019), "Oil and agricultural commodity prices in Nigeria: New evidence from asymmetry and structural breaks", International Journal of Energy Sector Management, Vol. 13 No. 2, pp. 377-401. https://doi.org/10.1108/IJESM-07-2018-0004
Publisher
:Emerald Publishing Limited
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