Ahmed, Khalil and Zain, Mohamed and Mohd Noor, Azman and Alsaadi, Abdul Rahman and Milhem, Marwan and Ahmad, Alhasan
(2020)
The impact of macroeconomic variables on commodity futures prices: an evidence from Malaysian crude palm oil futures.
European Journal of Molecular & Clinical Medicine, 7 (6).
pp. 2095-2105.
ISSN 2515-8260
Abstract
The current study aims to fulfil the gap of knowledge in commodity futures by empirically
examining the influence of selected macroeconomic variables on the prices of commodity futures
particularly Crude Palm Oil Futures (FCPO). Cointegration, Vector Error Correction and Granger
causality analyses are used to examine the nexus between macroeconomic variables (interest rate,
exchange rate and Industrial Production Index (IPI)) and FCPO from January 1999 to December
2019. Results show that interest rate, exchange rate and IPI have a significant influence on FCPO
prices in the long-run. While interest rate and exchange have a negative impact, IPI has a positive
impact. VECM results suggest that the macroeconomic variables appear to have no significant shortrun causal effect associate with the FCPO prices. Granger causality test indicate that FCPO and
exchange Granger cause IPI and act as leading indicators for IPI. The study implicates that policy
makers should carefully design policy (monetary and fiscal intervention) to reduce swings in the
commodity futures prices to protect hedgers and investors
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