E3S Web Conf.
Volume 52, 2018CSSPO International Conference 2018: Towards Inclusive & Sustainable Agriculture – Harmonizing Environmental, Social and Economic Dimensions: Is it Possible?
|Number of page(s)||8|
|Published online||27 August 2018|
A cointegration analysis of crude palm oil price in Thailand
Faculty of Management Science, Nakhon Ratchasima Rajabhat University,
30000 Nakhon Ratchasima,
2 Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Malaysia
3 Institute of Agricultural and Food Policy Studies, Universiti Putra Malaysia, 43400 UPM Serdang, Malaysia
4 Cirad, UMR Moisa - Marchés, Organisations, Institutions et Stratégies d’Acteurs, 34398 Montpellier Cedex 5, France
* Corresponding author: firstname.lastname@example.org
Reliazing the pass-through effects of global commodity prices on domestic prices, this study develops a vector error correction model (VECM) to test for the determinants and direction of causality between global prices and crude palm oil (CPO) price in Thailand. Malaysian crude palm oil, world soybean oil and world crude oil prices were investigated as factors affecting the Thai CPO price. Using the Johansen cointegration test, the result unveils a presence of long-run relationship among the determinants. This long-run relationship, proposes that CPO price flows in Thailand are positively influenced by the Malaysian CPO price and the error correction term suggests that approximately 35 percent of total disequilibrium in Thai CPO price was corrected in the following month. Moreover, the findings show Granger causality from each of the Malaysian CPO price and the world soybean oil price for the Thai CPO price. Information flow regarding the price movements of the Malaysian CPO and soybean oil affect the Thai CPO price and vice-versa. Whereas, the evidence for a causal relationship that runs from the world crude oil price to the Thai CPO price is found, but not in reverse.
© Owned by the authors, published by EDP Sciences, 2018
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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