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Asymmetric relationship between global and national factors and domestic food prices: evidence from Turkey with novel nonlinear approaches

Author

Listed:
  • Mustafa Tevfik Kartal

    (Borsa Istanbul Strategic Planning, Financial Reporting, and Investor Relations Directorate)

  • Özer Depren

    (Yapı Kredi Bank Customer Experience Research Lab.)

Abstract

This study investigates the asymmetric relationship between global and national factors and domestic food prices in Turkey, considering the recent rapid and continuous increase in domestic food prices. In this context, six global and three national explanatory variables were included, and monthly data for the period from January 2004 to June 2021 were used. In addition, novel nonlinear time-series econometric approaches, such as wavelet coherence, Granger causality in quantiles, and quantile-on-quantile regression, were applied for examination at different times, frequencies, and quantiles. Moreover, the Toda-Yamamoto (TY) causality test and quantile regression (QR) approach were used for robustness checks. The empirical results revealed that (i) there is a significant relationship between domestic food prices and explanatory variables at different times and frequencies; (ii) a causal relationship exists in most quantiles, excluding the lowest quantile, some middle quantiles, and the highest quantile for some variables; (iii) the power of the effect of the explanatory variables on domestic food prices varies according to the quantiles; and (iv) the results were validated by the TY causality test and QR, which show that the results were robust. Overall, the empirical results reveal that global and national factors have an asymmetric relationship with domestic food prices, highlighting the effects of fluctuations in global and national variables on domestic food prices. Thus, the results imply that Turkish policymakers should consider the asymmetric effects of global and national factors on domestic food prices at different times, frequencies, and quantiles.

Suggested Citation

  • Mustafa Tevfik Kartal & Özer Depren, 2023. "Asymmetric relationship between global and national factors and domestic food prices: evidence from Turkey with novel nonlinear approaches," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-24, December.
    • Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00407-9
    DOI: 10.1186/s40854-022-00407-9
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    Cited by:

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    2. Foued Hamouda & Imran Yousaf & Muhammad Abubakr Naeem, 2024. "Exploring the Dynamics of Equity and Cryptocurrency Markets: Fresh Evidence from the Russia–Ukraine War," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3555-3576, December.
    3. Kübra Akyol Özcan, 2023. "Food Price Bubbles: Food Price Indices of Turkey, the FAO, the OECD, and the IMF," Sustainability, MDPI, vol. 15(13), pages 1-21, June.

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    More about this item

    Keywords

    Domestic food prices; Global factors; National factors; Nonlinear approaches; Turkey;
    All these keywords.

    JEL classification:

    • 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
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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