Using Copula Approach for Modeling Dependence among Oil Prices, Exchange Rate and Imported Inputs of livestock Industry in Iran

Document Type : Research Paper

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Abstract

Abstract
Iran's agricultural sector has a bilateral relations with major world markets, because of Exporters roles and on the other hand importers of inputs for the livestock industry. It is clear, due to the import of such transactions might be influenced by the price changing and global crisis. So in this study,we are modeling dependence among oil prices, exchange rate with prices of imported inputs of  livestock industry in the period 1995-2004 (before the crisis) and 2005-2014 (after the crisis) with using the Copulas approach based on ARMA-MGARCH. Our results indicate that, prices of Corn, Soybean and Barley with Oil price in after crisis period has an high and positive correlation rather than before crisis period. For example the correlation between Oil price and Corn price are increase from 0.05 in before crisis to 0.20 in after crisis. So it seemed that Iraq - USA war, Global Financial Crisis and Global increase in food prices might be effective to our imported inputs in livestock industry.
JEL Classification: C59, F31, F42.

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References

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Agricultural Economics
Volume 12, Issue 2 - Serial Number 2
September 2018
Pages 1-19

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