Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models
Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can’t be rejected for the rela...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Pergamon Press
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/3079 |
| _version_ | 1848744132542988288 |
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| author | Shuddhasattwa, R. Bloch, Harry |
| author_facet | Shuddhasattwa, R. Bloch, Harry |
| author_sort | Shuddhasattwa, R. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can’t be rejected for the relationship between oil and most other commodity prices. Long-run positive impacts of oil price increases are found for 20 commodities and short-run negative impacts for 13 commodity prices. Oil prices don’t have much impact on beverage or cereal prices once endogeneity is accounted for, but they have substantial impact on metal prices. |
| first_indexed | 2025-11-14T05:56:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-3079 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T05:56:36Z |
| publishDate | 2016 |
| publisher | Pergamon Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-30792018-07-02T00:43:45Z Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models Shuddhasattwa, R. Bloch, Harry Linkages between oil and 25 other commodity prices are examined using annual data for 1900 to 2011. We identify long-run relationships using both linear and nonlinear ARDL models and capture short-run causalities through asymmetric Granger causality tests. Nonlinearity can’t be rejected for the relationship between oil and most other commodity prices. Long-run positive impacts of oil price increases are found for 20 commodities and short-run negative impacts for 13 commodity prices. Oil prices don’t have much impact on beverage or cereal prices once endogeneity is accounted for, but they have substantial impact on metal prices. 2016 Journal Article http://hdl.handle.net/20.500.11937/3079 10.1016/j.resourpol.2016.08.005 Pergamon Press fulltext |
| spellingShingle | Shuddhasattwa, R. Bloch, Harry Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title | Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title_full | Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title_fullStr | Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title_full_unstemmed | Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title_short | Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models |
| title_sort | explaining commodity prices through asymmetric oil shocks: evidence from nonlinear models |
| url | http://hdl.handle.net/20.500.11937/3079 |