cointegration analysis

The purpose of this article is to investigate the impact of the exchange rate volatility on Turkey's export. To this end, the panel cointegration analysis is applied to the data from Turkey's top 20 export industries to major 20 trading partners for the period 1980-2009. Special attention is paid to test for whether employment of country-level trade data instead of industry-level data is subject to the aggregation bias problem in the estimation of long-run cointegration parameters. The results indicate that employing country-level trade data suffers from the aggregation bias in estimating the cointegration parameters for the level of exchange rate and for the exchange rate volatility. The findings imply that (i) the impact of the exchange rate volatility on Turkish exports differs across industries, (ii) Turkey benefits from the depreciation of Turkish lira, and(iii) the foreign income plays a key role in determining the Turkish industry-level exports. The findings increase our insights to explain therecent dynamics of Turkish exports and provide some policy implications

causality

The increasing co-movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities. This study extends the literature on the oil-agricultural commodity prices nexus, which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). To this end, the linear causality approach of Toda-Yamamoto and the nonparametric causality method of Diks-Panchenko are applied to the weekly data spanning from 1994 to 2010. The linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other, which supports evidence on the neutrality hypothesis. In contrast, the nonlinear causality analysis shows that: (i) there are nonlinear feedbacks between the oil and the agricultural prices, and (ii) there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices. The findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers, farmers, and global investors. This study also suggests the directions for future studies. (C) 2011 Elsevier Ltd. All rights reserved

Trends in international commodity prices: Panel unit root analysis

The purpose of this paper is to examine the behavior of international commodity prices within the context of the Prebisch-Singer hypothesis. To this end, I utilize a panel unit root approach which is able to account for multiple structural breaks and cross-section dependency. The unit root analysis for 24 international commodity prices during the period 1900-2003 shows evidence in favor of the trend stationary process in the commodity prices. The results thereby imply that shocks to commodity prices are temporary in nature and tend to be corrected over time. The estimation of the trend stationary models indicates that the Prebisch-Singer hypothesis is not a universal phenomenon. (C) 2014 Elsevier Inc. All rights reserved

the international commodity price shocks

This paper proposes a simple panel stationarity test which takes into account structural shifts and cross-section dependency. Structural shifts are modelled as gradual/smooth process with a Fourier approximation. The so-called Fourier panel stationarity test has a standard normal distribution. The Monte Carlo simulations indicate that (i) if the error terms are i.i.d, the test shows good size and power properties even in small samples; and (ii) if the error terms are serially correlated, the test has reasonable size and high power. We re-examine the behavior of the international commodity prices and find out an evidence on the persistence of shocks

cointegration and causality analysis

This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support for the role of world oil prices on prices of several agricultural commodities. The positive impact of a weak dollar on agricultural prices is also confirmed. (C) 2011 Elsevier B.V. All rights reserved

emerging market

Oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied to the monthly data spanning from January 1994 to March 2010. The impulse-response analysis suggests the Turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short-run. The long-run causality analysis reveals that the changes in oil prices and appreciation/depreciation of the Turkish lira are not transmitted to agricultural commodity prices in Turkey. Hence, our results support neutrality of agricultural commodity markets in Turkey to both direct and indirect effects of oil price changes. (c) 2010 Elsevier B.V. All rights reserved

Exchange rates and Turkish fresh fruits and vegetables trade with the EU countries: Bilateral trade data analysis

This study examines the role of exchange rate on Turkey's fresh fruits and vegetables bilateral trade balance with 14 trading partners in the European Union. Because dynamic effects of exchange rate changes on trade balances have been hypothesized as the J-curve effect, special attention is paid to investigate whether or not the J-curve hypothesis is observable. To this end, we apply the bounds testing cointegration approach to the trade balance model for the period of 1995:q1-2007:q2. Results support evidence of the J-curve effect in 2 cases in the short run. In the long run, the exchange rate has a positive impact on the trade balance in 7 out of 14 cases. © Taylor & Francis Group, LLC

DO INTERNATIONAL RELATIVE COMMODITY PRICES SUPPORT THE PREBISCH-SINGER

This study investigates whether shocks to the real international commodity prices are transitory or permanent within the context of the recent developments in panel unit root testing procedures. We employ a composite panel unit root procedure -incorporates nonlinearity, gradual structural shifts, and cross-section dependency-with a sequential panel selection model which classifies stationary and non-stationary series in the panel. The analysis covering 24 real commodity prices for 1900-2010 identifies that when the behavior of commodity prices is investigated under the composite panel unit root perspective, the number of trend-stationary series increased dramatically and revealed 16 out 24 commodity prices to be stationary. A more careful examination of the findings shows that the majority of stationary prices (11 out of 16) are for livestock and agricultural commodities. However, we find only partial support for the Prebisch-Singer Hypothesis, where only 7 out of 24 commodities display negative long-term trend