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The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective

Author

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  • Aynur Pala

    (Istanbul Okan University, Tuzla, Istanbul, Turkiye.)

Abstract

This paper aims to examine the evolution of the commodity trios prices and relation among in structural break perspective for the period of 1991-2020. We used factor analysis, linearity, structural break, unit-root, cointegration tests and causality method were applied. Bai-Perron (2003) test results show industrial materials, energy and food price have one break at 2003, 2004, and 2005, respectively. To catch changing causality equation parameters clearly, it was used the moving sub-break range as 2003-2008. In post-break range, equation parameters obviously differed. In pre-break range, energy and food price have a in-directional effect on materials price, but, directional in post-break range. Lastly, in post-break range, the link among commodity trios have bi-directional relation between all commodity duos unlike pre-break range.

Suggested Citation

  • Aynur Pala, 2024. "The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 335-340, March.
    • Handle: RePEc:eco:journ2:2024-02-33
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Commodity Price; Time Series; Factor Analysis; Cointegration; Causality;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

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