THE STUDY OF RELATIONSHIP

BETWEEN CRUDE OIL PRICE

AND RUBBER SHEET PRICE

THE STUDY OF RELATIONSHIP BETWEEN CRUDE OIL PRICE AND RUBBER SHEET PRICE

SOONTHORN PAOPID

BACHELOR DEGREE ECONOMICS KHONKAEN UNIVERSITY

OBJECTIVE - The study the impact of oil prices on the price

of rubber.

- The study the long-term equilibrium price of oil and rubber sheet 3.

- Forcasting price of rubber sheet 3.

DATA METHOLOGY

this study used secondary data on an annual world oil prices and the price of rubber annually from 2490-2555, which is to query data from the Office of Agricultural Economics.

SET EQUATION

𝐥𝐧Rubber = 𝜶 + 𝜷 + 𝐥 𝐧 "Oil" + 𝜺

ln Rubber = Price of sheet 3 in Thailand ln Oil = Price of Brent

UNIT ROOT TEST AUGMENTED DICKEY FULLER TREND AND INTERCEPT

Variable Lag ADF – statistic

(P-value)

Prob I(d) Result

ln rubber 0 -8.6154* 0.000 1 Stationary

ln oil 0 -7.9146* 0.000 1 Stationary Source:Calculated

• * level of statistical significance : 0.10 • ** level of statistical significance 0.05 • ***level of statistical significance 0.01

OLS REGRESSION E-VIEWS

ln RUBBER = 1.4367 + 0.5354* lnOIL

(11.7003**) (11.7041**)

Problem. Estimate D.W. = 0.3411 found The test correlation time series (Autocorreletoin)

R-squared = 0.681571 Adj R = 0.676596 F-statistic = 136.9869 Prob (F-statistic) = 0.000000 Durbin-Watson stat = 0.341137

CORRECT AUTOCORRELETOIN

Autoregressive model

- AR (3) for Run new equation AR (3) is Auto Regressive Pt = a0 + a3Pt-3 Rubber price (variable) As a function of its own 3 Last year run equation

- fanction 𝑥𝑡=𝑐+ 𝜌𝑖𝑋𝑝𝑡=1 𝑡 − 1 + 𝜖𝑡

AUTOREGRESSIVE MODEL

Estimate function

R-squared = 0.922528 Adj R = 0.917186 F-statistic = 172.6654 Prob (F-statistic) = 0.000000 Durbin-Watson stat = 2.070217

lnRUBBER = 4.0740 + 0.3433*ln OIL + [AR(1)1.0483 AR(2) - 0.5466,AR (3) 0.4841]

(0.3703**) (2.8948***) (8.9276*) (-3.302058*) (3.907741**)

REVIEW ESTIMATE The independent variables of the equation are statistically significant at 95% and the DW is equal to 2.0702, the test correlation time series. (Autocorrelation) correlation in the R-squared is equal to 0.9225

means that the independent variable or the price of crude oil that can be described as the dependent variable and the amount of 92.25% at a confidence level of 90% can be described as coefficients. the of crude oil is equal to 0.3433, meaning that when prices change in 1 unit, or $ 1 / barrel to make the rubber sheet 3 changed to 0.3433 baht per k/g found is relations so accord is ture in theoretical

COINTEGRATION TEST

Dependent Variable

Independent Variable

Coefficient t-statistic R-squared Adj R F -Statistic

(P-value)

ln RUBBER lnOil 0.5354** 11.7041** 0.6815 0.6765 136.986

Source:Calculated

• * level of statistical significance : 0.10 • ** level of statistical significance 0.05 • ***level of statistical significance 0.01

ERROR CORRECTION MODEL TEST

Dependent Variable

Independent Variable

Coefficient t-statistic R-squared Adj R F -Statistic

(P-value)

Constant 0.0216 0.6864

0.101731 0.0727 0.0318 Rubber ECT(-1) -0.1537 -2.1967

D(oil) 0.2245 1.6174

Function

D (lnRUBBER) = 0.0216 + 0.2245*D(lnOIL) - 0.1537*ECT(-1) (0.6864**) (1.6174*) (-2.1967*)

FORECASTING RUBBER PRICE

Exponential Smoothing adjust rank for e-views data 2 year 2555-2557

ESTIMATE FORECASTING RUBBER PRICE

year rubber sheet price Forecasting

2555 4.84 2556 4.51 2557 4.53