An Analysis of the Relationship between Electronic Warehouse Receipts (EWR) Indices and the US Dollar Index and the Dollar Lira Exchange Rate Using Symmetric and Asymmetric Causality Tests

Abstract

Contractions in production volume and supply chain disruption experienced by all economies in recent years caused by the Covid-19 epidemic or geopolitical tensions together with the factors such as food safety and climate change have been effect instability in agricultural product prices. For these reasons, compulsory transformations in all sectors or disruptions in the markets are also observed in the food sector. This study investigates the causality between the Electronic Warehouse Receipt (EWR) index for Cereal, Wheat, Barley, and Corn products calculated by the Turkish Mercantile Exchange (TMEX) with the US Dollar Index (DXY) and Dollar Lira (USD/TRY) exchange rate using daily datasets for the period 01.04.2021-09.05.2022 with the Toda-Yamamoto causality test and the Hatemi-J asymmetric causality test for the existence of asymmetric information. The results provide evidence of bi-directional causality between the Dollar Lira (USD/TRY) rate and the Grain index and a uni-directional causality from the Dollar Lira (USD/TRY) to the wheat index, barley index, and corn index. Moreover; it has been concluded that the Wheat index reacts with a positive shock if there is a negative shock in the US Dollar Index (DXY) and Dollar Lira (USD/TRY).