Testing for price transmission in Thailand’s oil palm and palm oil markets: an empirical study using time series analysis

Q4 Agricultural and Biological Sciences

International Journal of Agricultural Extension Pub Date : 2021-12-30 DOI:10.33687/ijae.009.03.3656

Pacharapon P. Charoenrit, Chalermpon Jatuporn, Sombat Pantavisid, Vasu Suvanvihok, Paisan Rueangrit

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Abstract

This study aims to analyze the price transmission within the supply chains of Thailand’s oil palm and palm oil markets. The study employs time-series data from January 2012 to December 2019, which comprises 96 monthly price samples, using econometric analysis, namely, the ADF unit root, Granger causality, co-integration, and error correction model. The empirical results show that (1) there are four causal relationships from crude palm oil price running to palm fruit price, the wholesale price of bottle-refined palm oil, and the retail price of bottle-refined palm oil, and from the wholesale price of bottle refined palm oil running to the wholesale price of gallon refined palm oil. The results further reveal that (2) the palm fruit price has the highest price transmission efficiency, followed by the wholesale price of bottle-refined palm oil, the retail price of bottle-refined palm oil and the wholesale price of gallon refined palm oil. The findings conclude that the crude palm oil price influences the pricing in Thailand’s oil palm and palm oil markets.

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泰国油棕与棕榈油市场价格传导检验:使用时间序列分析的实证研究

本研究旨在分析泰国油棕和棕榈油市场供应链内的价格传导。本研究采用2012年1月至2019年12月的时间序列数据，包含96个月度价格样本，采用计量经济分析方法，即ADF单位根、格兰杰因果关系、协整和误差修正模型。实证结果表明:(1)粗棕榈油价格运行与棕榈果价格、瓶装精炼棕榈油批发价格、瓶装精炼棕榈油零售价格存在4种因果关系，瓶装精炼棕榈油批发价格运行与加仑精炼棕榈油批发价格存在4种因果关系。结果进一步揭示(2)棕榈果价格的价格传递效率最高，其次是瓶装精炼棕榈油批发价格、瓶装精炼棕榈油零售价格和加仑精炼棕榈油批发价格。研究结果表明，粗棕榈油价格影响泰国油棕和棕榈油市场的价格。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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International Journal of Agricultural Extension Agricultural and Biological Sciences-Plant Science

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