文章基本信息

标题：A cointegration analysis of crude palm oil price in Thailand
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作者：Patchaya Songsiengchai ; Shaufique F. Sidique ; Marcel Djama 等
期刊名称：E3S Web of Conferences
印刷版ISSN：2267-1242
电子版ISSN：2267-1242
出版年度：2018
卷号：52
页码：1-8
DOI：10.1051/e3sconf/20185200035
出版社：EDP Sciences
摘要：Reliazing the pass-through effects of global commodity prices on domestic prices, this study develops a vector error correction model (VECM) to test for the determinants and direction of causality between global prices and crude palm oil (CPO) price in Thailand. Malaysian crude palm oil, world soybean oil and world crude oil prices were investigated as factors affecting the Thai CPO price. Using the Johansen cointegration test, the result unveils a presence of long-run relationship among the determinants. This long-run relationship, proposes that CPO price flows in Thailand are positively influenced by the Malaysian CPO price and the error correction term suggests that approximately 35 percent of total disequilibrium in Thai CPO price was corrected in the following month. Moreover, the findings show Granger causality from each of the Malaysian CPO price and the world soybean oil price for the Thai CPO price. Information flow regarding the price movements of the Malaysian CPO and soybean oil affect the Thai CPO price and vice-versa. Whereas, the evidence for a causal relationship that runs from the world crude oil price to the Thai CPO price is found, but not in reverse.
其他摘要：Reliazing the pass-through effects of global commodity prices on domestic prices, this study develops a vector error correction model (VECM) to test for the determinants and direction of causality between global prices and crude palm oil (CPO) price in Thailand. Malaysian crude palm oil, world soybean oil and world crude oil prices were investigated as factors affecting the Thai CPO price. Using the Johansen cointegration test, the result unveils a presence of long-run relationship among the determinants. This long-run relationship, proposes that CPO price flows in Thailand are positively influenced by the Malaysian CPO price and the error correction term suggests that approximately 35 percent of total disequilibrium in Thai CPO price was corrected in the following month. Moreover, the findings show Granger causality from each of the Malaysian CPO price and the world soybean oil price for the Thai CPO price. Information flow regarding the price movements of the Malaysian CPO and soybean oil affect the Thai CPO price and vice-versa. Whereas, the evidence for a causal relationship that runs from the world crude oil price to the Thai CPO price is found, but not in reverse.