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

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 pro...

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Main Authors: Abdlaziz, Rizgar Abdlkarim, Abdul Rahim, Khalid, Peter, Adamu
Format: Article
Language:English
Published: EconJournals 2016
Online Access:http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf
http://psasir.upm.edu.my/id/eprint/56401/
http://www.econjournals.com/index.php/ijeep/article/view/1698
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spelling my.upm.eprints.564012017-07-31T09:16:27Z http://psasir.upm.edu.my/id/eprint/56401/ Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis Abdlaziz, Rizgar Abdlkarim Abdul Rahim, Khalid Peter, Adamu 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. EconJournals 2016 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf 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 http://www.econjournals.com/index.php/ijeep/article/view/1698
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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.
format Article
author Abdlaziz, Rizgar Abdlkarim
Abdul Rahim, Khalid
Peter, Adamu
spellingShingle Abdlaziz, Rizgar Abdlkarim
Abdul Rahim, Khalid
Peter, Adamu
Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
author_facet Abdlaziz, Rizgar Abdlkarim
Abdul Rahim, Khalid
Peter, Adamu
author_sort Abdlaziz, Rizgar Abdlkarim
title Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
title_short Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
title_full Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
title_fullStr Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
title_full_unstemmed Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
title_sort oil and food prices co-integration nexus for indonesia: a non-linear autoregressive distributed lag analysis
publisher EconJournals
publishDate 2016
url http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf
http://psasir.upm.edu.my/id/eprint/56401/
http://www.econjournals.com/index.php/ijeep/article/view/1698
_version_ 1643836179533004800
score 13.211869

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