How is the Modeling of the Relationship Between Food Inflation and the Agricultural Sector Composite Stock Price Index with the Statistical Analysis System?

Abstract

The complex issue between inflation and stock indices makes it necessary for academic studies to examine related issues. Based on the previous explanation, this study attempts to model inflation and JCI in the context of the discussion of economic models, where inflation is represented by inflation in the food, beverage, and tobacco (IFBT) and JCI categories (RJKA). Then, the study will analyze how the two variables interact with each other to obtain the best model that establishes a short-term and long-term relationship between the two. The Vector Autoregressive (VAR) model will be utilized for the dynamic modeling in this study. Based on the investigation findings, the optimal model is the Vector Autoregressive model with the order 4 (p = 4), VAR (4).