Contents of the volume

2016, Volume 69 - Issue 3

ISSN: 2499-8265
RSS feed citation: at CitEc
Publication date: 01 August 2016

MILITARY SPENDING-HOUSEHOLD CONSUMPTION NEXUS: A HETEROGENEOUS PANEL DATA APPROACH

Emmanuel Anoruo, Uchenna Akpom

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CAUSALITY BETWEEN OIL PRICE AND SOUTH AFRICA'S FOOD PRICE: TIME VARYING APPROACH

Goodness C. Aye

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LIBERALIZATION OF TRADE WITH THE EFTA COUNTRIES: SOME EVIDENCE FROM BOSNIA AND HERZEGOVINA

Safet Kurtovic, Blerim Halili, Nehat Maxhuni, Sead Talovic

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DETERMINANTS OF WESTERN BALKAN EMIGRATION FLOWS: AN EMPIRICAL ANALYSIS

Visar Malaj, Stefano De Rubertis

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DETERMINANTS OF SOUTH AFRICA'S EXPORTS OF AGRICULTURE, FORESTRY AND FISHING PRODUCTS TO SADC: A GRAVITY MODEL APPROACH

Teboho Jeremiah Mosikari, Joel Hinaunye Eita

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Goodness C. AYE, Department of Economics, University of Pretoria, Pretoria, 0002, South Africa

Causality between Oil Price and South Africa's Food Price: Time Varying Approach

Pages

193-212

Abstract

This paper examines the dynamic causal relationship between global oil price and South Africa’s food price using both full sample and time varying Granger causality tests. Monthly data from 2000:1 to 2014:6 is used. Result from the linear full sample Granger causality result shows no evidence of significant causality between oil price and food price. However, various stability tests show that the relevant VAR is unstable, thus invalidating conclusions from the full sample linear Granger causality tests. Based on this the causality analysis is performed using a time varying approach. Result from the latter shows that oil price Granger causes South Africa’s food price at different sub-periods: 2002-2003, 2006 and 2010. This challenges the assumption that the causal relationship between the two variables is constant over time. Therefore, these results highlight the importance of using methods that account for structural breaks and nonlinearities in the dynamic causal relationship between global oil price and South Africa’s food price.


 

JEL classification

C32, Q11, Q40

Keywords

Oil Price, Food Price, Causality, Time Varying

Index

  1. Introduction
  2. Data and Econometric Model
  3. Results
  4. Conclusion

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