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

Author

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  • Rizgar Abdlkarim Abdlaziz

    (Darbandixan Technical Institute, Sulaimani Polytechnic University, Iraq, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • Khalid Abdul Rahim

    (Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • Peter Adamu

    (Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia, Department of Economics, Kaduna State University, Kaduna, Nigeria)

Abstract

This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear 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 gross domestic product 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.

Suggested Citation

  • Rizgar Abdlkarim Abdlaziz & Khalid Abdul Rahim & Peter Adamu, 2016. "Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 82-87.
    • Handle: RePEc:eco:journ2:2016-01-12
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    References listed on IDEAS

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    Cited by:

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    2. Koushik Mandal & Radhika Prosad Datta, 2024. "Oil Price Dynamics and Sectoral Indices in India – Pre, Post and during COVID Pandemic: A Comparative Evidence from Wavelet-based Causality and NARDL," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 18-33, July.
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    4. Ibrahim A. Adekunle & Isiaq O. Oseni, 2021. "Fuel subsidies and Carbon Emission: Evidence from asymmetric modelling," Research Africa Network Working Papers 21/001, Research Africa Network (RAN).
    5. Agus Widarjono & Indah Susantun & Sarastri M. Ruchba & Ari Rudatin, 2020. "Oil and Food Prices for a Net Oil Importing-country: How Are Related in Indonesia?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 255-263.
    6. Md. Idris Ali, 2023. "Investigating the Effect of Agricultural Crops on Agricultural GDP in Bangladesh," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(9), pages 2093-2098, September.
    7. Miroslava Ivanova & Lilko Dospatliev, 2023. "Effects of Diesel Price on Changes in Agricultural Commodity Prices in Bulgaria," Mathematics, MDPI, vol. 11(3), pages 1-22, January.
    8. Hanif, Waqas & Areola Hernandez, Jose & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2021. "Tail dependence risk and spillovers between oil and food prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 195-209.
    9. Sergei Kharin & Zuzana Kapustova & Ivan Lichner, 2024. "Unveiling an asymmetric relationship between global crude oil and local food prices in an oil-importing economy," Letters in Spatial and Resource Sciences, Springer, vol. 17(1), pages 1-24, December.
    10. Fasanya, Ismail & Akinbowale, Seun, 2019. "Modelling the return and volatility spillovers of crude oil and food prices in Nigeria," Energy, Elsevier, vol. 169(C), pages 186-205.
    11. Ding Chen & Umar Muhammad Gummi & Junping Wang, 2024. "Does Renminbi internationalization matter for petroleum security in China? Evidence from a disaggregate analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 961-974, January.
    12. Wakimin, Nur Fadzlunnisaa & Azlina, A.A. & Samsudin, Hazman & Kamaludin, Mahirah, 2019. "The Impact of Tourism Demand, Government Expenditure on Education and Income on the Environment in ASEAN-5 Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 53(3), pages 75-90.
    13. Yusuf Muhammad-Bashir Owolabi & Salau Tunde Jibril & Adeiza Adams, 2024. "Oil and Food Price Before and During COVID-19 Pandemic in Nigeria: A Non-Linear ARDL Approach," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 34(2), pages 32-56, June.
    14. Elizabeth Obiaje & Aiyedogbon O. John & Aigbedion Marvelous, 2024. "Impact of Monetary Policy on Food, Beverages and Tobacco Output in Nigeria: 2000-2023," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(12), pages 3806-3822, December.
    15. Mohammed Akter Hossain & Hakan Acet & Zobayer Ahmed & Alauddin Majumder, 2021. "Revisiting inflation and growth nexus in Bangladesh: an asymmetric cointegration based on non-linear ARDL approach," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), August.
    16. Deluna, Roperto S. & Loanzon, Jeanette Isabelle V. & Tatlonghari, Virgilio M., 2021. "A nonlinear ARDL model of inflation dynamics in the Philippine economy," Journal of Asian Economics, Elsevier, vol. 76(C).
    17. Agus Widarjono & Abdul Hakim, 2019. "Asymmetric Oil Price Pass-Through to Disaggregate Consumer Prices in Emerging Market: Evidence from Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 9(6), pages 310-317.
    18. Hüseyin İçen & Nimet Melis Esenyel İçen & Buğra Polat, 2022. "The Asymmetric Relationship Among Food Prices, the Exchange Rate, and Oil Prices in Turkey," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 149-169, December.
    19. Hasan, Amiratul Nadiah & Masih, Mansur, 2018. "Determinants of food price inflation: evidence from Malaysia based on linear and nonlinear ARDL," MPRA Paper 91517, University Library of Munich, Germany.
    20. Jen-Yao Lee & Ya-Chuan Hsiao & Ngochien Bui & Tien-Thinh Nguyen, 2021. "Inward Foreign Direct Investment and Trade Openness in Vietnam: A Nonlinear Autoregressive Distributed Lag Approach," Economies, MDPI, vol. 9(3), pages 1-18, August.

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    More about this item

    Keywords

    Oil Price; Food Price; Non-linear Autoregressive Distributed Lag; Indonesia;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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