PRICE INTERACTIONS AND CAUSAL RELATIONSHIPS AMONG CORN, EXCHANGE RATE AND ANIMAL PROTEIN SOURCES IN NIGERIA
2021
Unekwu Onuche
Price transmissions between corn, exchange rate, poultry meat, and fish were investigated using the data from OECD-FAO for the years 1990-2019, to establish the existence of long-term relationships between them and identify their directions of causality, in order to elicit investmentaiding facts. The augmented Dickey-Fuller (ADF) test, the Johansen cointegration approach and the Granger causality test were employed. Following the ADF test, all series are I(1), while the cointegration test indicates short-run dynamics between them. The Vector Autoregressive (VAR) system reveals that poultry meat price influences all variables, prices of poultry meat and exchange rate relate positively to their own lags, and exchange rate relates positively to lags of poultry meat prices. A positive relationship was noticed between fish price and lags of poultry meat price, while corn price relates positively with lags of poultry meat price. Granger causality tests indicate unidirectional drives from poultry price to fish price, the exchange rate to fish price and poultry meat price to corn price. Responses from prices of fish, corn and poultry to innovations from exchange rate are negative, while positive responses exist in other scenarios. Exchange rate stabilization will mitigate external risks, especially to the fisheries sector, while corn farmers can increase profits in the short-run by exploring knowledge of poultry meat price movements.
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