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Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis


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 / Synopsis

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 17:16
Last Modified: 31 Jul 2017 17:16
URI: http://psasir.upm.edu.my/id/eprint/56401
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