2015 | 4(940) | 101-116
Article title

The Application of a Rolling Causality Test for Analysing Dependencies between the Prices of Corn, Crude Oil and Ethanol

Title variants
Zastosowanie rolowanego testu przyczynowości do analizy zależności między cenami kukurydzy, ropy naftowej i etanolu
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The objective of the paper is to analyse causality between the prices of corn, crude oil and ethanol. The analysis conducted for the paper is a dynamic one, and the data used consist of weekly futures prices of crude oil, corn, and ethanol from January 5, 2007 till April 11, 2014. The assessment of causal links between the prices of corn, crude oil and ethanol is carried out with the use of rolling regression applied to the augmented-VAR framework proposed by Toda and Yamamoto in 1995. The application of the rolling regression procedures in the modified Wald (MWALD) causality test allows for the investigation of the persistence of stability in causal relations between the prices analysed. The results obtained indicate that the linkages between energy prices and agricultural commodity prices changed in the period analysed. The results of Granger causality tests reveal that in the analysed period the price of corn influences the price of energy (crude oil and ethanol). Also, crude oil prices influence corn prices and ethanol prices. However, ethanol prices were not observed to influence crude oil prices or corn prices.
Celem artykułu jest analiza zależności przyczynowych pomiędzy cenami kukurydzy, ropy naftowej i etanolu. Badanie krótkookresowych zależności przyczynowych przeprowadzono w ramach analizy przyczynowości w sensie Grangera na danych tygodniowych z okresu 5 stycznia 2007–11 kwietnia 2014 r. z wykorzystaniem regresji ruchomych (rolling regresion) do modelu VAR, który zaproponowali H.Y. Toda i T. Yamamoto w 1995 r. Zastosowanie procedury ruchomych regresji do zmodyfikowanego testu przyczynowości (MWALD) pozwala na sprawdzenie, czy relacje przyczynowe pomiędzy analizowanymi cenami są stabilne w czasie. Uzyskane wyniki pozwalają stwierdzić, że związki między cenami surowców energetycznych i cenami towarów rolnych ulegają zmianie w analizowanym okresie. Wyniki badań wskazują, że ceny kukurydzy są przyczyną w sensie Grangera cen surowców energetycznych (ropy naftowej i etanolu). Również ceny ropy naftowej są przyczyną w sensie Grangera cen kukurydzy i etanolu. Dodatkowo stwierdzono, że ceny etanolu nie są przyczyną w sensie Grangera cen ropy naftowej i kukurydzy.
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