Tag Archives: Price Transmission

The Analysis of Factors Affecting CPO Export Price of Indonesia (Published)

This study aims to determine and analyze the influences of world crude oil price shocks, world soybean oil prices, world CPO prices, palm oil TBS prices and the exchange rate of rupiah/US dollar towards the transmission on CPO export prices of Indonesia. This study uses quantitative analysis model with the approach of vector autogression model (VAR) which includes three main analysis tools namely Granger causality test, impulse response function (IRF) and forecast error decomposition of variance (FEDV). The variables which are used in this research are world petroleum price, world soybean oil price, CPO price of Rotterdam, CPO export price of Indonesia, fresh fruit bunch price and real exchange rate (real exchange rate). From Granger Causality test result, The price transmission process takes place the plot as follows: world crude oil prices significantly influence the CPO price of world (Rotterdam) which will significantly influence the world soybean oil prices and so on have a significant influence on the value of the real exchange rate which will influence the price of fresh fruit bunches and ultimately have a significant influence on CPO price export of Indonesia. From the estimation result of VAR model, there are significant influences of world crude oil price shocks, world soybean oil prices, world CPO prices, palm oil TBS prices and rupiah/US dollar exchange rates simultaneously to the transmission on CPO export prices of Indonesia. Based on analysis of Impulse response and variance decomposition, in the first period, one hundred percent average variability of CPO export price growth is significantly explained by the average growth of CPO export prices itself. In the subsequent period, the average variability of CPO export price growth is significantly explained by the average growth of CPO export price itself as well as other variables.

Keywords: : Petroleum Price, CPO export price, Granger Causality, Price Transmission, Real Exchange Rate, Soybean Oil Price, TBS, VAR, Variance Decomposition, impulse response function

PRICE TRANSMISSION ANALYSIS ALONG THE FOOD CHAIN (Published)

Vertical price transmission between wheat and flour markets in Kazakhstan has been analyzed using monthly data during the period 2000-2010. Officials applied a wide variety of policies in response to global wheat price increases, often causing adverse and unintended effects on regional domestic wheat and flour prices. Overall, short-run policies aimed especially at mitigating wheat and flour prices were unsuccessful, causing greater instability and uncertainty in domestic market. The results confirm that price transmission between wheat and flour switched over the period. The PMG model was performed separately with the two regimes, and indicated that price transmission significantly altered under regime changes. Although overall coefficient differences in the two regimes are modest, the results across regions have different patterns in depicting huge differences in coefficients and magnitude. Moreover, The Granger causality test implies that the global wheat price is a good determinant of price differences across oblasts (regions)

Keywords: Divergence, Export, Kazakhstan, Price Transmission, Wheat Production