Oil-Food Price Dynamics under Economic Shocks: A Structural VECM Approach

Orkun Bayram

Makale detayları

Oil-Food Price Dynamics under Economic Shocks: A Structural VECM Approach

Yazarlar:

Orkun Bayram

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Konjonktür Dalgalanmaları

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 3, pp.1293-1305

Belge Tipi:

Makale

Yayın Tarihi:

9/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001358204

pISSN:

2587-2567

Anahtar kelimeler:

Özet:

 This study investigates the dynamic relationship between global crude oil prices and food prices using monthly time series data from January 1990 to August 2012 within the framework of a Structural Vector Error Correction Model VECM. The FAO Food Price Index and the IMF Crude Oil Price Index are employed as the primary data sources. The stationarity of the series is tested using ADF, PP, KPSS, and Zivot-Andrews unit root tests. After determining the optimal lag length through information criteria, the Johansen cointegration test is applied, but no long-run cointegrating vector is identified. Nevertheless, VECM results indicate that a 1 increase in oil prices leads to a 0.506 rise in food prices in the long run, while food prices have a Granger-causality effect on oil prices in the short run. These findings highlight a bidirectional transmission mechanism through energy costs, biofuel demand, and logistics expenses. The study emphasizes the critical role of coordinated policy tools such as flexible inflation targeting, strategic reserve mechanisms, and integrated market surveillance systems in ensuring food security and price stability in developing economies. Future research should consider extended datasets and nonlinear modeling approaches to capture regime-dependent dynamics more effectively.

 This study investigates the dynamic relationship between global crude oil prices and food prices using monthly time series data from January 1990 to August 2012 within the framework of a Structural Vector Error Correction Model VECM. The FAO Food Price Index and the IMF Crude Oil Price Index are employed as the primary data sources. The stationarity of the series is tested using ADF, PP, KPSS, and Zivot-Andrews unit root tests. After determining the optimal lag length through information criteria, the Johansen cointegration test is applied, but no long-run cointegrating vector is identified. Nevertheless, VECM results indicate that a 1 increase in oil prices leads to a 0.506 rise in food prices in the long run, while food prices have a Granger-causality effect on oil prices in the short run. These findings highlight a bidirectional transmission mechanism through energy costs, biofuel demand, and logistics expenses. The study emphasizes the critical role of coordinated policy tools such as flexible inflation targeting, strategic reserve mechanisms, and integrated market surveillance systems in ensuring food security and price stability in developing economies. Future research should consider extended datasets and nonlinear modeling approaches to capture regime-dependent dynamics more effectively.

 This study investigates the dynamic relationship between global crude oil prices and food prices using monthly time series data from January 1990 to August 2012 within the framework of a Structural Vector Error Correction Model VECM. The FAO Food Price Index and the IMF Crude Oil Price Index are employed as the primary data sources. The stationarity of the series is tested using ADF, PP, KPSS, and Zivot-Andrews unit root tests. After determining the optimal lag length through information criteria, the Johansen cointegration test is applied, but no long-run cointegrating vector is identified. Nevertheless, VECM results indicate that a 1 increase in oil prices leads to a 0.506 rise in food prices in the long run, while food prices have a Granger-causality effect on oil prices in the short run. These findings highlight a bidirectional transmission mechanism through energy costs, biofuel demand, and logistics expenses. The study emphasizes the critical role of coordinated policy tools such as flexible inflation targeting, strategic reserve mechanisms, and integrated market surveillance systems in ensuring food security and price stability in developing economies. Future research should consider extended datasets and nonlinear modeling approaches to capture regime-dependent dynamics more effectively.

 Bu çalışma, Ocak 1990 ile Ağustos 2012 dönemine ait aylık zaman serisi verilerini kullanarak, küresel ham petrol fiyatları ile gıda fiyatları arasındaki dinamik ilişkiyi Yapısal Vektör Hata Düzeltme Modeli VECM kapsamında incelemektedir. FAO Gıda Fiyat Endeksi ile IMF Ham Petrol Fiyat Endeksi veri seti olarak kullanılmış; serilerin durağanlığı ADF, PP, KPSS ve Zivot-Andrews birim kök testleriyle analiz edilmiştir. Bilgi kriterlerine göre optimal gecikme uzunluğu belirlendikten sonra Johansen eşbütünleşme testi uygulanmış ve uzun dönemli eşbütünleşme ilişkisi tespit edilememiştir. VECM bulguları, petrol fiyatlarındaki 1lik artışın gıda fiyatlarını uzun vadede 0,506 oranında artırdığını, kısa vadede ise gıda fiyatlarının petrol fiyatları üzerinde Granger nedenselliği taşıdığını göstermektedir. Bulgular; enerji maliyetleri, biyoyakıt talebi ve lojistik giderler yoluyla oluşan çift yönlü geçişkenliğe işaret etmektedir. Bu çalışma, gelişmekte olan ülkelerde fiyat istikrarı ve gıda güvenliği hedefleri doğrultusunda entegre piyasa izleme sistemleri, stratejik rezerv mekanizmaları ve esnek enflasyon hedeflemesi gibi makroekonomik politika araçlarının birlikte uygulanmasının önemine dikkat çekmektedir. Ayrıca, gelecekteki araştırmalar için genişletilmiş veri kapsamı ve doğrusal olmayan modellerle analiz önerilmektedir.

Makale detayları

Oil-Food Price Dynamics under Economic Shocks: A Structural VECM Approach

Yazarlar:

Orkun Bayram

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Konjonktür Dalgalanmaları

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 3, pp.1293-1305

Belge Tipi:

Makale

Yayın Tarihi:

9/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001358204

pISSN:

2587-2567

Crude Oil Prices

Food Prices

Vector Error Correction Model

Granger Causality

Structural BreaksHam Petrol Fiyatları

Gıda Fiyatları

Vektör Hata Düzeltme Modeli

Granger Nedensellik

Yapısal Kırılmalar

Sayı

Makale detayları

Yazarlar: Orkun Bayram

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Konjonktür Dalgalanmaları

Dergi: Politik Ekonomik Kuram Vol.9 Issue 3, pp.1293-1305

Belge Tipi: Makale

Yayın Tarihi: 9/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001358204

pISSN: 2587-2567

Sayı

Yazarlar:

Orkun Bayram

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Konjonktür Dalgalanmaları

Dergi:

Politik Ekonomik Kuram Vol.9 Issue 3, pp.1293-1305

Belge Tipi:

Makale

Yayın Tarihi:

9/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001358204

pISSN:

2587-2567