The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach

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TARAZKAR MOHAMMAD HASAN; SHEIKHZEINODDIN AZAR

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Journal: JOURNAL OF AGRICULTURAL ECONOMICS RESEARCH Year:2019 | Volume:11 | Issue:1 (41) Page(s): 81-100

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Title

The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach

Author(s)

TARAZKAR MOHAMMAD HASAN | SHEIKHZEINODDIN AZAR | Issue Writer Certificate

Keywords

Oil Price FluctuationQ1

Producer Price IndexQ1

Hegy TestQ1

Bound TestQ1

IranQ2

Abstract

The main objective of this article is analyzing the relationship between agricultural commodity price and oil shock for Iran. To this end, the nonlinear autoregressive distributed lags (NARDL) approach was employed which allows prices to be tied by asymmetric impact both in the long-as well as in the short-run. Linkages between oil price and agricultural commodity prices are examined using seasonal data for 1389: 4 to 1395: 4. The bounds test of the NARDL specification suggests the presence of co-integration among the variables, which include the agricultural commodity price, oil price and GDP. The estimated NARDL model affirms the presence of asymmetries in the agricultural product price behavior in both Long-run and short-run. Therefore, in the long and short-run, a positive significant relation between oil price increases and agricultural commodity price was found. In addition, the short and long-run significant relation between oil price reduction and the agricultural production price was estimated. Also, the positive oil price shock will result in higher changes in the agricultural commodity price as compared to the oil price reduction shock.

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APA: Copy

TARAZKAR, MOHAMMAD HASAN, & SHEIKHZEINODDIN, AZAR. (2019). The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach. JOURNAL OF AGRICULTURAL ECONOMICS RESEARCH, 11(1 (41) ), 81-100. SID. https://sid.ir/paper/158798/en

Vancouver: Copy

TARAZKAR MOHAMMAD HASAN, SHEIKHZEINODDIN AZAR. The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach. JOURNAL OF AGRICULTURAL ECONOMICS RESEARCH[Internet]. 2019;11(1 (41) ):81-100. Available from: https://sid.ir/paper/158798/en

IEEE: Copy

MOHAMMAD HASAN TARAZKAR, and AZAR SHEIKHZEINODDIN, “The impacts of asymmetric oil shocks on agricultural commodity price: Application of nonlinear autoregressive distributed lags (NARDL) approach,” JOURNAL OF AGRICULTURAL ECONOMICS RESEARCH, vol. 11, no. 1 (41) , pp. 81–100, 2019, [Online]. Available: https://sid.ir/paper/158798/en

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