Dynamic price transmission in the Philippine vegetable oil market: Evidence from a weekly vector autoregression analysis

Information from the abstract

This study examines dynamic price relationships among coconut oil, crude palm oil, and palm olein using weekly data from 2021 to 2025. A Vector Autoregression (VAR) model was employed to analyse short-run interactions, with lag-selection criteria supporting a VAR(1) specification. Bai–Perron multiple structural break tests were used to identify shifts in market regimes. Results indicate that lagged palm olein prices significantly influence crude palm oil prices, demonstrating price transmission within the palm oil supply chain. In contrast, coconut oil does not significantly influence either palm-derived oil, suggesting limited price leadership. Granger causality tests confirm that coconut oil does not Granger-cause crude palm oil or palm olein, while significant instantaneous causality indicates contemporaneous market relationships, potentially reflecting common external shocks. Structural break analysis identified several regime shifts potentially associated with policy interventions, post-pandemic supply adjustments, and adverse climate conditions. Although the El Niño indicator was insignificant in the VAR model, the findings suggest that broader market regime shifts were more prominent than the measured climate effect. These results provide insights for producers, traders, and policymakers seeking to improve price risk management and strengthen edible oil market resilience in the Philippines.

Why this record is monitored

This record has an Impact Signal of 85/100 based on recency, source, collaboration, and bibliographic signals. It prioritizes monitoring and is not a judgment of research quality.

Related topics: Economics of Agriculture and Food Markets · Market Dynamics and Volatility · Monetary Policy and Economic Impact