Modelling the Relationship Between Agricultural
Commodity Prices, Energy Prices, And Exchange Rate:
Evidence from A Three Stage Markov-Switching Model

Yegnanew A Shiferaw

Research Article

Modelling the Relationship Between Agricultural Commodity Prices, Energy Prices, And Exchange Rate: Evidence from A Three Stage Markov-Switching Model

Yegnanew A Shiferaw*

Department of Statistics, University of Johannesburg, South Africa

Corresponding Author

Received Date: July 31, 2019; Published Date: August 02, 2019

Abstract

Aim: One of the main objectives of this paper is to examine the relationship between the prices of agricultural commodities with the price of oil, price of gas, price of coal and exchange rate (USD/Rand).

Methods: The paper applies the three-state Markov-switching (MS) regression models. The data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31^st October 2016 for maize, wheat, sunflower and soya, and 19 May 2010 to 31^st October 2016 for corn. Moreover, the data contains daily returns of crude oil, natural gas, coal and exchange rate which spans from 02 January 2007 to 31^st October 2016.

Results: The results indicate that the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate.

Conclusion: This paper provided a practical guide for modelling agricultural commodity prices, energy prices and exchange rate by MS regression models. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: Commodity prices; Exchange rate; MS model

Article Details

Citation

Yegnanew A Shiferaw. Modelling the Relationship Between Agricultural Commodity Prices, Energy Prices, And Exchange Rate: Evidence from A Three Stage Markov-Switching Model. World J Agri & Soil Sci. 3(1): 2019. WJASS.MS.ID.000554.