Citation
Abdlaziz, Rizgar Abdlkarim and Abdul Rahim, Khalid and Peter, Adamu
(2016)
Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis.
International Journal of Energy Economics and Policy, 6 (1).
pp. 82-87.
ISSN 2146-4553
Abstract
This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic product and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long- and short-run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Economics and Management |
| Publisher: | EconJournals |
| Keywords: | Oil price; Food price; Non-linear autoregressive distributed lag; Indonesia |
| Depositing User: | Nabilah Mustapa |
| Date Deposited: | 31 Jul 2017 09:16 |
| Last Modified: | 31 Jul 2017 09:16 |
| URI: | http://psasir.upm.edu.my/id/eprint/56401 |
| Statistic Details: | View Download Statistic |
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