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Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach

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Book cover Structural Changes and their Econometric Modeling (TES 2019)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 808))

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Abstract

This study examines impacts of global market volatility and US dollar on selected agricultural commodity futures prices, namely corn, wheat, soybean and sugar. We employ panel cointegration and panel model estimation using FMOLS and DOLS estimators. Data set used in our study is weekly data from January 7, 2011 to December 30, 2016. The empirical results from panel cointegration test indicate there is a long-run relationship among global market volatility, US dollar and agricultural commodity futures prices. Both FMOLS and DOLS estimations show that global market volatility has a positive impact on agricultural commodity futures prices, while US dollar appreciation leads to a decrease in agricultural commodity futures prices.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Khunanont Lerkeitthamrong & Rossarin Osathanunkul

  2. Department of Agricultural Economy and Development, Faculty of Agriculture, Chiang Mai University, Chiang Mai, Thailand

    Chatchai Khiewngamdee

  3. Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand

    Chatchai Khiewngamdee

Authors
  1. Khunanont Lerkeitthamrong
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  2. Chatchai Khiewngamdee
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  3. Rossarin Osathanunkul
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Corresponding author

Correspondence to Khunanont Lerkeitthamrong .

Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Texas at El Paso, El Paso, TX, USA

    Vladik Kreinovich

  2. Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand

    Songsak Sriboonchitta

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Lerkeitthamrong, K., Khiewngamdee, C., Osathanunkul, R. (2019). Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices: A Panel Cointegration Approach. In: Kreinovich, V., Sriboonchitta, S. (eds) Structural Changes and their Econometric Modeling. TES 2019. Studies in Computational Intelligence, vol 808. Springer, Cham. https://doi.org/10.1007/978-3-030-04263-9_32

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