Mohd. Arshad, Fatimah and A. Ghaffar, Roslan (1988) Causality among selected oils and fats prices. In: Proceedings of 1987 International Oil Palm/Palm Oil Conference : progress & prospects. PORIM, Bangi, Selangor, pp. 59-67.
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Abstract
This paper aims at ascertaining the casual relationship in particular the lead-lag relationship between selected fats and oils prices. The study utilises cross-correlation technique suggested by Haugh (1972, 1976) and Pierce (1977), which is essentially looking at the relationship between the estimated innovations of stationary time series. The lead-lag relationship and inference on the direction of causality between the prices are tested using U statistic. The study shows that there exists an instantaneous relationship between the selected fats and oils price. While soyabean prices are shown as apparently leading other seedoils like groundnut and sunflower oils and tallow there is a feedback causality between soyabean prices and palm oil prices.
| Item Type: | Book Section |
|---|---|
| Subject: | Oils and fats - Prices |
| Faculty or Institute: | Faculty of Economics and Management |
| Publisher: | PORIM |
| ID Code: | 17853 |
| Deposited By: | Samsida Samsudin |
| Deposited On: | 21 Sep 2011 05:08 |
| Last Modified: | 21 Sep 2011 05:08 |
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