Oil and food prices in Malaysia: a nonlinear ARDL analysis

By M. Ibrahim. 2015

288 citations recorded by the source corpus.

The present paper analyses the relations between food and oil prices for Malaysia using a nonlinear autoregressive distributed lags (NARDL) model. The bounds test of the NARDL specification suggests the presence of cointegration among the variables, which include the food price, oil price and real GDP. The estimated NARDL model affirms the presence of asymmetries in the food price behavior. Namely, in the long run, we find a significant relation between oil price increases and food price. Meanwhile, the long run relation between oil price reduction and the food price is absent. Furthermore, in the short run, only changes in the positive oil price exert significant influences on the food price inflation. With the absence of significant influence of oil price reduction on the food price both in the long run and in the short run, the role of market power in shaping the behavior of Malaysia’s food price is likely to be significant.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/132af375d086be80f95981802867e9b3f6a8b2a0

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Citations in the corpus

Asymmetric impact of oil prices, exchange rate, and inflation on tourism demand in Pakistan: new evidence from nonlinear ARDL (2018, background): “…ARDL approach; a case when any series in the model is stationary at second difference I(2) ARDL approach cannot be applied, the reason being that in the presence of second difference variables, cointegration F-statistics value becomes invalid (Ibrahim, 2015; Ilyas, Ahmad, Afzal, & Mahmood, 2010).”
Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017, methodology): “Asymmetric price links have been assessed using nonlinear versions of ARDL (Ibrahim, 2015; Rafiq and Bloch, 2016), cross-correlation (e.g., Liu, 2014), Granger causality (e.g., Nazlioglu, 2011), and vector error correction models (VECM) such as the asymmetric VECM, threshold VECM, smooth transition…”
Environmental regulations an option: Asymmetry effect of environmental regulations on carbon emissions using non-linear ARDL (2018, methodology): “…or symmetric relationship, if we have symmetric relationship then ARDL would proceed, however, in case of asymmetric relationship non-linear ARDL is used, as it has been used by and followed the same procedure (Shahbaz 2017; Ibrahim 2015;; Bildirici and Ozaksoy 2017; Bayramoglu and Yildirim 2017).”
Oil price and inflation in Algeria: A nonlinear ARDL approach (2019, background): “Similar to various studies (see, Cunado and Gracia, 2005; and Ibrahim, 2015), the pass-through effect of oil price to the domestic inflation seems to be incomplete.”