Journal of Global Economics

Department of Finance Academy, Economic Studies Bucharest, Bucharest, Romania

Publications

• Mini Review   
  Cointegration and Causality of Energy and Grain Prices
  Author(s): Daniel Armeanu*
  
  Oil, natural gas, and/or coal have historically been linked to grain markets because they are used as inputs for fertiliser production or transportation costs. The recent rise in energy prices in response to significant events such as the COVID-19 pandemic and the Russia-Ukraine conflict has refocused researchers' attention. The goal of this paper is to use time series models to assess any changes in the relationships between crude oil, natural gas and grain prices, which will contribute to a review of the fuel-food relationship. Several techniques (Zivot-Andrews and Clemente, Montaés, Reyes unit root tests, Johansen's cointegration test, Toda-Yamamoto time domain causality test with time dummy variables for structural breaks and Hatemi-J asymmetric causality test) are used to account for structural breaks and regime shifts data spanning the years January 19.. Read More»
  DOI: 10.37421/2375-4389.2022.10.372

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