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Unveiling an asymmetric relationship between global crude oil and local food prices in an oil-importing economy

Author

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  • Sergei Kharin

    (Slovak Academy of Sciences)

  • Zuzana Kapustova

    (Slovak University of Agriculture in Nitra)

  • Ivan Lichner

    (Slovak Academy of Sciences)

Abstract

Recent swift comovements of local food and global crude oil prices have attracted the attention of policymakers and researchers. To evaluate this relationship, many studies have used time series models to explore global crude oil and local food prices. However, robust research based on advanced nonlinear time series models that incorporate control variables for their formation is lacking. In this paper, nonlinear techniques are applied to assess the asymmetric nexus between Brent oil prices and local retail food prices in Slovakia. To estimate this value, we extend the single-threshold NARDL approach to the MTNARDL model. The nominal exchange rate and industrial production index are used as the control variables. Compared with conventional NARDL models, the MTNARDL model provides a more detailed representation of global oil‒local food price linkages and detects the asymmetric effect of global oil prices on food prices from both long- and short-term perspectives. Interestingly, with respect to long- and short-term food price volatility, changes in response to oil price fluctuations are greatest under a regime with rather a small number of positive and moderate changes.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:lsprsc:v:17:y:2024:i:1:d:10.1007_s12076-024-00393-9
    DOI: 10.1007/s12076-024-00393-9
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    More about this item

    Keywords

    Price transmission; ARDL; NARDL; MTNARDL; Food prices; Energy prices; Asymmetric effects;
    All these keywords.

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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