Impact of Petroleum Energy Price Volatility on Commodity Prices in Ghana

Abstract

The purpose of this article is to demonstrate the relationship between petroleum energy volatility and commodity prices in Ghana, which are indexed (energy grains, meat, and cooking oil), as well as to provide an empirical specification of the impact's direction. With reference to time series literature, the paper examined energy and commodity price connection models such as augmented dickey fuller, granger causality, co-integration, vector autoregressive and the vector error correction models used in estimating the association among petroleum energy volatility and the three selected commodity variables. The paper found that, there is a long run relationship between petroleum energy volatility and commodity prices in Ghana from 2011 to 2022. A single equation error correction model suggested that, petroleum energy shocks increase prices of grains, meat and cooking oil in both the short and long run. Impulse response function and variance decomposition conducted on the variables also suggested that there is both short and long run association between the variables.

Volatility Transmission and Market Connectivity of Metals and Energy Commodities: Insights from the Spillover Index

“…The 2008-2009 period significantly impacted copper prices, echoed in this study (Creti et al, 2013;Mollick and Assefa, 2013;Sadorsky, 2014;Bouei et al, 2016;Vardar et al, 2018;Dadzie et al, 2023). Additionally, a most recent study by Umar et al (2021) underscores demand and risk shocks as key metal return transmission factors.…”

Revisiting the relationship between Oil Price and Food Prices in the US: Evidence from Threshold Cointegration with Asymmetric Adjustment

“…In a different approach, Naeem et al ( 2022) utilized a connectedness approach spanning from 2006M1 to 2020M10, indicating that while short and long-term spillovers between oil volatility and commodity prices are less pronounced, intracorrelations are notably stronger. Dadzie et al (2023), in a study covering 2011 to 2021 using VECM, VAR, and ARDL, unveiled the enduring influence of oil prices on food costs, emphasizing a persistent positive and significant relationship in both the long and short run periods, affirming the complex but evident interdependence between food and oil prices.…”

“…Several recent research works have furthered the exploration of the intricate relationship between food and oil prices, using a variety This Journal is licensed under a Creative Commons Attribution 4.0 International License of empirical methodologies and diverse temporal periods (Mokni and Ben Salha, 2020;Taghizadeh-Hesary et al, 2019;Zmami and Ben-Salha, 2019;Mokni and Youssef, 2020;Lundberg et al, 2020;Roman et al, 2020;Sun et al, 2023;Yu et al, 2023;Mokni, 2023;Mastroeni et al, 2022;Naeem et al, 2022;Dadzie et al, 2023). The findings of these studies highlight diverse interactions between food and oil prices, varying based on contexts and methodologies used.…”

“…For instance, some studies reveal significant links between oil price fluctuations and food commodity costs, demonstrating a direct influence of oil shocks on food expenses (Sun et al, 2023;Yu et al, 2023). Other studies underscore a robust and positive correlation between food and oil prices, whether it's a causal relationship between oil price variations and those of food commodities or an enduring asymmetric association (Mokni and Ben-Salha, 2020;Taghizadeh-Hesary et al, 2019;Mokni, 2023;Dadzie et al, 2023). These divergent conclusions call for an indepth understanding of the dynamics between oil price fluctuations and food costs, emphasizing the importance of tailored policies to mitigate the adverse impacts of oil price variations on food expenses.…”

Energy Prices and Their Impact on US Stock Indices: A Wavelet- based Quantile-on-Quantile Regression Approach

“…The Efficient Market Hypothesis (EMH) theory, positing that asset prices reflect all available information, thereby making price forecasting challenging (Fama, 1970), forms the bedrock of the current framework for stock market returns. However, empirical evidence often challenges this notion, with studies indicating that variables like oil prices significantly influence stock returns (Mensi et al, 2017;Dadzie et al, 2023). This discrepancy opens avenues for examining the dynamic relationship between energy prices and stock indices.…”