Iris Publishers - World Journal of Agriculture and Soil Science (WJASS)


Modelling the Relationship Between Agricultural Commodity Prices, Energy Prices, And Exchange Rate: Evidence from A Three Stage Markov-Switching Model




Authorized by Yegnanew A Shiferaw




 Aim: One of the main objectives of this paper is to examine the relationship between the prices of agricultural commodities with the price of oil, price of gas, price of coal and exchange rate (USD/Rand).
Methods: The paper applies the three-state Markov-switching (MS) regression models. The data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016 for maize, wheat, sunflower and soya, and 19 May 2010 to 31st October 2016 for corn. Moreover, the data contains daily returns of crude oil, natural gas, coal and exchange rate which spans from 02 January 2007 to 31st October 2016.

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