Agriculture and inflation: Expected and unexpected shocks

Barros, Geraldo Sant'Ana de Camargo; Carrara, Aniela Fagundes; Castro, Nicole Rennó; Silva, Adriana Ferreira

doi:10.1016/j.qref.2021.12.002

Cited by 7 publications

(1 citation statement)

References 36 publications

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“…Commodity prices are known to fluctuate, as indicated in the literature (Barros et al 2022;Makkonen et al 2021;Salisu et al 2019), while factors like the global economy, climate conditions, inflation, and GDP are the sources of this fluctuation. A comprehensive literature review suggests that a time series approach is well suited for analyzing commodity price behavior, with specialized software often utilized for this purpose.…”

Section: Introductionmentioning

confidence: 99%

Resource Price Interconnections and the Impact of Geopolitical Shocks Using Granger Causality: A Case Study of Ukraine–Russia Unrest

Kostaridou,

Siatis,

Zafeiriou

2024

JRFM

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Political events significantly impact economic indices, including agricultural commodities. While Granger causality is a well-established method for analyzing interdependencies between time series data, its traditional application can be challenging to interpret across multiple periods. This research enhances the Granger causality method to quantify changes in the interlinkages among variables over time, offering a more intuitive framework for analyzing how political events affect economic indices. The proposed method involves conducting Granger causality tests across different periods, forming vectors from the results to capture transitions from Granger-causing to non-Granger-causing variables. These vector amplitudes provide quantitative measures of changes with explanatory power over time. The dataset includes eight variables over a decade, focusing on the following major geopolitical events: the Russian occupation of Crimea in 2014 and the invasion of Ukraine in 2022, with an intermediate “no-shocks” period as the reference. The results show significant changes in the interlinkages among the variables during crisis periods compared to stable periods. This enhanced method provides valuable insights, informing trading strategies and risk management during periods of geopolitical instability. This innovative approach offers a novel tool for market participants to better understand and respond to economic shocks caused by political events.

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Section: Introductionmentioning

confidence: 99%