BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Mukhlis Mukhlis (Universitas Almuslim, Bireuen, Indonesia), Majid M. Shabri Abd. (Universitas Syiah Kuala Banda Aceh, Indonesia), Syahnur Sofyan (Universitas Syiah Kuala Banda Aceh, Indonesia), Musrizal Musrizal (Universitas Almuslim, Bireuen, Indonesia), Nova Nova (Universitas Almuslim, Bireuen, Indonesia)
Tytuł
A Comparative Analysis of Dynamic Interactions between European and Indonesian Cocoa Markets during the 2008 Global Financial Crisis and the 2011 European Debt Crisis
Analiza porównawcza dynamicznych interakcji między europejskimi i indonezyjskimi rynkami kakao podczas światowego kryzysu finansowego w 2008 r. i europejskiego kryzysu zadłużenia w 2011 r.
Źródło
Comparative Economic Research, 2021, vol. 24, nr 3, s. 139-162, rys., tab., bibliogr. 69 poz.
Słowa kluczowe
Kakao, Kryzys finansowy, Kurs walutowy, Ceny ropy naftowej, Indeks cen konsumpcyjnych
Cocoa, Financial crisis, Exchange rates, Oil prices, Consumer price index (CPI)
Uwagi
Klasyfikacja JEL: C01, C23, O13
summ., streszcz.
Abstrakt
Opracowanie przedstawia badanie empiryczne dynamicznych interakcji między europejskim i indonezyjskim rynkiem kakao podczas globalnego kryzysu finansowego w 2008 r. (GFC) i europejskiego kryzysu zadłużenia w 2011 r. (EDC). Badanie zrealizowano wykorzystując podejścia kointegracji i wieloczynnikowej przyczynowości Grangera w oparciu o zestaw szeregów czasowych. Badanie potwierdziło długoterminową równowagę między europejskim i indonezyjskim rynkiem kakao, sugerując istnienie wzajemnej relacji między nimi. Jednak w całym badaniu odnotowywano nieefektywną transmisję korekt cen kakao w Indonezji. Waluta amerykańska stale wpływała na indonezyjskie ceny kakao, podczas gdy rynki kakao były niezależne od wahań światowych cen ropy naftowej. Generalnie w badaniu odnotowano różny poziom szybkości dostosowywania się krótkookresowych nierównowag do długookresowej równowagi na krajowym rynku kakao w czasie kryzysów gospodarczych. (abstrakt oryginalny)

This study empirically explores the dynamic interactions between the European and Indonesian cocoa markets during the 2008 global financial crisis (GFC) and the 2011 European debt crisis (EDC) using a battery of time series approaches of cointegration and multivariate Granger causality. The study documented a long-run equilibrium between the European and Indonesian cocoa markets, implying a reciprocal relationship. However, an inefficient adjustment transmission in the Indonesian cocoa prices was recorded throughout the study. The US currency constantly influenced Indonesian cocoa prices, while cocoa markets were independent of fluctuations in world oil prices. Overall, the study recorded a different level of the speed of adjustment of short-run imbalances to long-run equilibrium in the domestic cocoa market across economic crises. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Ahrens, S., Pirschel, I., Snower, D.J. (2017), A Theory of Price Adjustment under Loss Aversion, "Journal of Economic Behavior and Organization", 134, pp. 78-95, https://doi.org/10.1016/j.jebo.2016.12.008
  2. Alori, A.D., Kutu, A.A. (2019), Export Function of Cocoa Production, Exchange Rate Volatility and Prices in Nigeria, "Journal of Economics and Behavioral Studies", 11 (2), pp. 1-14, https://doi.org/10.22610/jebs.v11i2(J).2813
  3. Andrade, P., Zachariadis, M. (2016), Global Versus Local Shocks in Micro Price Dynamics, "Journal of International Economics", 98, pp. 78-92, https://doi.org/10.1016/j.jinteco.2015.10.005
  4. Arnade, C., Cooke, B., Gale, F. (2017), Agricultural Price Transmission: China Relationships with World Commodity Markets, "Journal of Commodity Markets", 7 (9), pp. 28-40, https://doi.org/10.1016/j.jcomm.2017.07.001
  5. Arsyad, M., Yusuf, S. (2008), Assessing the Impact of Oil Prices and Interest Rate Policies: The Case of Indonesian Cocoa, "Ryukoku Journal of Economic Studies", 48 (1), pp. 65-92.
  6. Asteriou, D., Hall, S.G. (2011), Applied Econometrics, Palgrave Macmillan, New York.
  7. Bahmani-Oskooee, M., Aftab, M. (2018), Asymmetric Effects of Exchange Rate Changes on the Malaysia-China Commodity Trade, "Economic Systems", 42 (3), pp. 1-17, https://doi.org/10.1016/j.ecosys.2017.11.004
  8. Bank of Indonesia (2019), Indonesian Financial Statistics (SEKI), Jakarta, http://www.bi.go.id (accessed: 20.06.2019).
  9. Bekkers, E., Brockmeier, M., Francois, J., Yang, F. (2017), Local Food Prices and International Price Transmission, "World Development", 96 (8), pp. 216-230, https://doi.org/10.1016/j.worlddev.2017.03.008
  10. Bohl, M.T., Siklos, P.L., Stefan, M., Wellenreuther, C. (2019), Price Discovery in Agricultural Commodity Markets: Do Speculators Contribute?, "Journal of Commodity Markets", 18, pp. 1-33, https://doi.org/10.2139/ssrn.3407686
  11. BPS - Statistics Indonesia (2004-2020), Indonesian Cocoa Statistics, Jakarta: Badan Pusat Statistik. https://www.bps.go.id/publication.html? (accessed 25.05.2019).
  12. Buffie, E.F., Airaudo, M., Zanna, F. (2018), Inflation Targeting and Exchange Rate Management in Less Developed Countries, "Journal of International Money and Finance", 81, pp. 159-184, https://doi.org/10.1016/j.jimonfin.2017.09.013
  13. Cabrera, B.L., Schulz, F. (2016), Volatility Linkages between Energy and Agricultural Commodity Prices, "Energy Economics", 54, pp. 190-203, https://doi.org/10.1016/j.eneco.2015.11.018
  14. Ceballos, F., Hernandez, M.A., Minot, N., Robles, M. (2017), Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries, "World Development", 94, pp. 305-320, https://doi.org/10.1016/j.worlddev.2017.01.015
  15. Cozmanca, B.-O., Manea, F. (2010), Exchange Rate Pass-Through into Romanian Price Indices: A VAR Approach, "Romanian Journal of Economic Forecasting", 3, pp. 26-52.
  16. Dahl, R.E., Oglend, A., Yahya, M. (2019), Dynamics of Volatility Spillover in Commodity Markets: Linking Crude Oil to Agriculture, "Journal of Commodity Markets", 20, pp. 1-19, https://doi.org/10.1016/j.jcomm.2019.100111
  17. Dewanta, A.S. (2019), Demand for Indonesian Cocoa Beans in A Dilemma: Case Study Malaysian Market, "Economic Journal of Emerging Markets", 11 (1), pp. 59-72, https://doi.org/10.20885/ejem.vol11.iss1.art6
  18. Dias, R., Silva, J.V.D., Dionísio, A. (2019), Financial Markets of the LAC Region: Does the Crisis Influence the Financial Integration?, "International Review of Financial Analysis", 63, pp. 160-173, https://doi.org/10.1016/j.irfa.2019.02.008
  19. El-Khatib, Y., Hatemi, J.A. (2018), The Second Order Price Sensitivities for Markets in A Crisis, "Journal of King Saud University-Science", 32 (1), pp. 131-135, https://doi.org/10.1016/j.jksus.2018.03.016
  20. Evgenidis, A. (2018), Do All Oil Price Shocks Have the Same Impact? Evidence from the Euro Area, "Finance Research Letters", 26, pp. 1-6, https://doi.org/10.1016/j.frl.2017.12.013
  21. Fernández, A., Schmitt-Grohé, S., Uribe, M. (2017), World Shocks, World Prices, and Business Cycles: An Empirical Investigation, "Journal of International Economics", 108 (1), pp. S2-64, https://doi.org/10.1016/j.jinteco.2017.01.001
  22. Figueroa-Hernández, C., Mota-Gutierrez, J., Ferrocino, I., Hernandez-Estrada, Z.J., Conzalez-Rios, O., Cocolin, L., Suarez-Quiroz, M.L. (2019), The Challenges and Perspectives of the Selection of Starter Cultures for Fermented Cocoa Beans, "International Journal of Food Microbiology", 301, pp. 41-50, https://doi.org/10.1016/j.ijfoodmicro.2019.05.002
  23. Fowowe, B. (2016), Do Oil Prices Drive Agricultural Commodity Prices? Evidence from South Africa, "Energy", 104, pp. 149-157, https://doi.org/10.1016/j.energy.2016.03.101
  24. Giordani, P.E., Rocha, N., Ruta, M. (2016), Food Prices and the Multiplier Effect of Trade Policy, "Journal of International Economics", 101, pp. 102-122, https://doi.org/10.1016/j.jinteco.2016.04.001
  25. Giuliodori, D., Rodriguez, A. (2015), Analysis of the Stainless Steel Market in the EU, China and the US using Co-Integration and VECM, "Resources Policy", 44, pp. 12-24, https://doi.org/10.1016/j.resourpol.2014.11.006
  26. Gujarati, D.N., Porter, D.C. (2009), Basic Econometrics, fifth edition, Douglas Reiner, New York.
  27. Hasibuan, A.M., Sayekti, A. (2018), Export Tax Policy in Indonesia: The Impacts on Competitiveness and Price Integration of Cocoa Products, "Social Sciences & Humanities", 26 (1), pp. 535-552.
  28. Haugom, E., Mydland, O., Pichler, A. (2016), Long Term Oil Prices, "Energy Economics", 58, pp. 84-94, https://doi.org/10.1016/j.eneco.2016.06.014
  29. Hoang, H.K., Meyers, W.H. (2015), Price Stabilization and Impacts of Trade Liberalization in the Southeast Asian Rice Market, "Food Policy", 57, pp. 26-39, https://doi.org/10.1016/j.foodpol.2015.07.009
  30. Hoffmann, M.P., Cock, J., Samson, M., Janetski, N., Janetski, K., Rötter, R.P., Fisher, M., Oberthür, T. (2020), Fertilizer Management in Smallholder Cocoa Farms of Indonesia under Variable Climate and Market Prices, "Agricultural Systems", 178, pp. 1-13, https://doi.org/10.1016/j.agsy.2019.102759
  31. International Cocoa Organization (2016), Monthly Cocoa Market Review, https://www.icco.org/icco-documentation/cocoa-market-review/#toggle-id-6 (accessed: 14.07.2021).
  32. International Cocoa Organization (2019), Cocoa Daily Prices, https://www.icco.org/statistics/ (accessed: 12.06.2019).
  33. International Monetary Fund (2019), IMF Data: International Financial Statistics, https://www.imf.org/en/Data (accessed: 23.06.2019).
  34. International Trade Centre (2020), International Trade Statistics 2001-2020. https://www.intracen.org/itc/market-info-tools/statistics-export-product-country/ (accessed: 15.06.2020).
  35. Ivanic, M., Will, M. (2014), Implications of Domestic Price Insulation for Global Food Price Behavior, "Journal of International Money and Finance", 42, pp. 272-288, https://doi.org/10.1016/j.jimonfin.2013.08.015
  36. Jambor, A., Gal, P., Torok, A. (2020), Determinants of Regional Trade Agreements: Global Evidence Based on Gravity Models, "Journal of International Studies", 13 (1), pp. 44-57, https://doi.org/10.14254/2071-8330.2020/13-1/3
  37. Karim, B.A., Majid, M.S.A. (2010), Does Trade Matter for Stock Market Integration?, "Studies in Economics and Finance", 27 (1), pp. 47-66, https://doi.org/10.1108/10867371011022975
  38. Kassim, S.H., Majid, M.S.A., Hamid, Z. (2011), The 2007 Global Financial Crisis and the Malaysian Stock Market: A Sectoral Analysis, "Afro-Asian Journal of Finance and Accounting", 2 (3), pp. 185-209. https://doi.org/10.1504/AAJFA.2011.041629
  39. Khraief, N., Shahbaz, M., Heshmati, A., Azam, M. (2018), Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests, "North American Journal of Economics and Finance", 51, pp. 1-15, https://doi.org/10.1016/j.najef.2018.08.021
  40. Majid, M.S.A., Sofyan, H., Rahmanda, M.R. (2018), Dynamic Interdependence of the Indonesian Rupiah with the ASEAN and the World Largest Forex Markets, "Jurnal Ekonomi Malaysia", 52 (1), pp. 59-68. https://doi.org/10.17576/JEM-2018-5201-5
  41. Ministry of Agriculture of the Republic of Indonesia (2020), Outlook Kakao 2020, Pusat Data dan Sistem Informasi Pertanian, http://epublikasi.setjen.pertanian.go.id/arsip-outlook/75-outlook-perkebunan/729-outlook-kakao-2021 (accessed: 14.07.2021).
  42. Mofya-Mukuka, R., Abdulai, A. (2013), Policy Reforms and Asymmetric Price Transmission in the Zambian and Tanzanian Coffee Markets, "Economic Modelling", 35, pp. 786-795, https://doi.org/10.1016/j.econmod.2013.08.040
  43. Nakatani, R. (2018), Adjustment to Negative Price Shocks by A Commodity Exporting Economy: Does Exchange Rate Flexibility Resolve A Balance of Payments Crisis?, "Journal of Asian Economics", 57, pp. 13-35, https://doi.org/10.1016/j.asieco.2018.06.002
  44. Nazlioglu, S. (2014), Trends in International Commodity Prices: Panel Unit Root Analysis, "North American Journal of Economics and Finance", 29, pp. 441-451, https://doi.org/10.1016/j.najef.2014.06.010
  45. Nazlioglu, S., Soytas, U. (2012), Oil Price, Agricultural Commodity Prices, and the Dollar: A Panel Cointegration and Causality Analysis, "Energy Economics", 34 (4), pp. 1098-1104, https://doi.org/10.1016/j.eneco.2011.09.008
  46. Nazlioglu, S., Erdem, C., Soytas, U. (2013), Volatility Spillover between Oil and Agricultural Commodity Markets, "Energy Economics", 36, pp. 658-665, https://doi.org/10.1016/j.eneco.2012.11.009
  47. Nedeljkovic, M., Urosevic, B. (2012), Determinants of the Dinar-Euro Nominal Exchange Rate, "Romanian Journal of Economic Forecasting", 3, pp. 121-141.
  48. Olaiya, T.A. (2016), Examining the Political-Economy of Cocoa Exports in Nigeria, "International Journal of Applied Economics and Finance", 10 (1-3), pp. 1-13, https://doi.org/10.3923/ijaef.2016.1.13
  49. Olimpia, N., Stela, D. (2017), Impact of Globalisation on Economic Growth in Romania: An Empirical Analysis of Its Economic: Social and Political Dimensions, "Studia Universitatis Economics Series", 27 (1), pp. 29-40, https://doi.org/10.1515/sues-2017-0003
  50. Permani, R. (2013), Optimal Export Tax Rates of Cocoa Beans: A Vector Error Correction Model Approach, "Australian Journal of Agricultural and Resource Economics", 57 (4), pp. 579-600, https://doi.org/10.1111/1467-8489.12011
  51. Permani, R., Vanzetti, D., Setyoko, N.R. (2011), Optimum Level and Welfare Effects of Export Taxes for Cocoa Beans in Indonesia: A Partial Equilibrium Approach, "Paper Presented at the 2011 AARES Annual Conference, February 8-11, 2011, Melbourne, Australia", Australian Agricultural and Resource Economics Society. https://econpapers.repec.org/paper/agsaare11/100695.htm (accessed 14.07.2021).
  52. Quarmine, W., Haagsma, R., Sakyi-Dawson, O., Asante, F., Huis, A.V., Obeng-Ofori, D. (2012), Incentives for Cocoa Bean Production in Ghana: Does Quality Matter?, "NJAS - Wageningen Journal of Life Sciences", 60-63, pp. 7-14, https://doi.org/10.1016/j.njas.2012.06.009
  53. Rahman, M.M., Kashem, M.A. (2017), Carbon Emissions, Energy Consumption and Industrial Growth in Bangladesh: Empirical Evidence from ARDL Cointegration and Granger Causality Analysis, "Energy Policy", 110, pp. 600-608, https://doi.org/10.1016/j.enpol.2017.09.006
  54. Ramli, N., Noor, A.H.S.M., Sarmidi, T., Said, F.F. (2019), Modelling the Volatility of Rubber Prices in ASEAN-3, "International Journal of Business and Society", 20 (1), pp. 1-18.
  55. Shah, S.Z., Baharumshah, A.Z., Said, R., Murdipi, R. (2019), The International Transmission of Volatility Shocks on an Emerging Economy: The Case of Malaysia, "Malaysian Journal of Economic Studies", 56 (2), pp. 243-265, https://doi.org/10.22452/MJES.vol56no2.4
  56. Sofyan, H., Majid, M.S.A., Rahmanda, M.R. (2019), Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe, "Contemporary Economics", 13 (1), pp. 35-49. https://doi.org/10.10.5709/ce.1897-9254.297
  57. Syahril, S., Masbar, R., Majid, M.S.A., Syahnur, S. (2019), Does Indonesia as the World Largest Palm Oil Producing Country Determine the World Crude Palm Oil Price Volatility?, "Regional Science Inquiry", 11 (1), pp. 93-104.
  58. UNCTAD (2015), Commodities and Development Report 2015: Smallholder Farmers and Sustainable Commodity Development, UNCTAD, New York.
  59. UNCTAD (2017), Commodities and Development Report 2017: Commodity Markets, Economic Growth and Development, UNCTAD, New York.
  60. Verter, N. (2016), Cocoa Export Performance in the World's Largest Producer, "Bulgarian Journal of Agricultural Science", 22 (5), pp. 713-721.
  61. Volkov, N.I., Yuhn, K. (2016), Oil Price Shocks and Exchange Rate Movements, "Global Finance Journal", 31, pp. 18-30, https://doi.org/10.1016/j.gfj.2016.11.001
  62. Wang, Y., Wu, C., Yang, L. (2014), Oil Price Shocks and Agricultural Commodity Prices, "Energy Economics", 44, pp. 22-35, https://doi.org/10.1016/j.eneco.2014.03.016
  63. Wessel, M., Quist-Wessel, P.M.F. (2015), Cocoa Production in West Africa: A Review and Analysis of Recent Developments, "NJAS - Wageningen Journal of Life Sciences", 74, pp. 1-7, https://doi.org/10.1016/j.njas.2015.09.001
  64. Witjaksono, J., Asmin. A. (2016), Cocoa Farming System in Indonesia and Its Sustainability under Climate Change, "Agriculture, Forestry and Fisheries", 5 (5), pp. 170-180, https://doi.org/10.11648/j.aff.20160505.15
  65. Wyszkowska-Kuna, J. (2019), Productivity Performance of the Service Sectors in European Union Countries, "Comparative Economic Research. Central and Eastern Europe", 22 (4), pp. 7-22, https://doi.org/10.2478/cer-2019-0029
  66. Yasa, I.W. (2007), Indonesian Cocoa Beans: Current Situation, Indonesian Cocoa Farmer Association, Indonesian Cocoa Board (ICB), Jakarta.
  67. Yin, L., Han, L. (2015), Co-Movements in Commodity Prices: Global, Sectoral and Commodity-Specific Factors, "Economics Letters", 126, pp. 96-100, https://doi.org/10.1016/j.econlet.2014.11.027
  68. Ying, Y.-H., Chang, K., Lee, C.-H. (2014), The Impact of Globalization on Economic Growth, "Romanian Journal of Economic Forecasting", 27 (2), pp. 25-34.
  69. Zhang, Y., Ding, S., Scheffel, E.M. (2019), A Key Determinant of Commodity Price Co-Movement : The Role of Daily Market Liquidity, "Economic Modelling", 81, pp. 170-180, https://doi.org/10.1016/j.econmod.2019.01.004
Cytowane przez
Pokaż
ISSN
1508-2008
Język
eng
URI / DOI
http://dx.doi.org/10.18778/1508-2008.24.26
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu