곡물과 원유 국제가격 간 적률 인과관계

(Causal Relationships in Moments between Agricultural Commodity Prices and Crude Oil Prices)

This paper examines the causal relationship between agricultural commodity prices and crude oil prices. While the literature on empirical causality tests just concentrated on either the 1st moment(mean) or the 2nd moment (volatility), we investigates the causality in the 1st, 2nd and 3rd moments all. To this end, the test for causality in high order moments suggested by Nishiyama et al.(2011), originally based on nonparametric kernel regression, is modified to linear regression and is applied to the monthly data of grain prices(wheat, corn, bean) and oil prices(WTI, BRENT) from May 1987 to July 2013. S&P500 index is included in the regression to control the possible causal effect of the financialization of commodities. The analysis shows that : First, the grain prices and the oil prices do not cause each other in the 1st moment except for corn price which causes in the 1st moment the oil prices. Second, there is a unidirectional causality in the 2nd moment from grain prices to oil prices. Third, there is also a unidirectional causality in the 3rd moment from grain prices to oil prices.