Causal Association between BIST Indices, Energy and Food Prices

Abstract

The aim of this paper is to examine the relation between food prices, crude oil prices and BIST Industrials and Food Beverage indicies using Johansen Cointegration and Vector Error Correction methods. The relation between these factors has been examined for the time period 1997:1-2016:4 using monthly data in this study. Johansen Cointegration results indicate that there is long run relation between between BIST 100, BIST Industrials, BIST Food and Beverage indices and Food and crude oil prices. It is found in this study that food and energy prices Granger cause BIST indices in the long run. However, we couldn’t find any short run causality between these factors. Though there are number of studies investigating the effects of crude oil pricess on BIST Indsutrial Index as far as we know, there is no study examining the effects of food prices on BIST indices. Hence, by filling this gap in literature, this study is expected to be useful for researhers working on this issue.