The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective


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Authors

  • Aynur Pala Istanbul Okan University, Tuzla, Istanbul, Turkiye

DOI:

https://doi.org/10.32479/ijeep.15587

Keywords:

Commodity Price, Time Series, Factor Analysis, Cointegration, Causality

Abstract

This paper aims to examine the evolution of the commodity trios prices and relation among in structural break perspective for the period of 1991-2020. We used factor analysis, linearity, structural break, unit-root, cointegration tests and causality method were applied. Bai-Perron (2003) test results show industrial materials, energy and food price have one break at 2003, 2004, and 2005, respectively. To catch changing causality equation parameters clearly, it was used the moving sub-break range as 2003-2008. In post-break range, equation parameters obviously differed. In pre-break range, energy and food price have a in-directional effect on materials price, but, directional in post-break range. Lastly, in post-break range, the link among commodity trios have bi-directional relation between all commodity duos unlike pre-break range.

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Published

2024-03-15

How to Cite

Pala, A. (2024). The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective. International Journal of Energy Economics and Policy, 14(2), 335–340. https://doi.org/10.32479/ijeep.15587

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Articles