THE CONTRIBUTION OF SPOT - FUTURES PRICE AND OTHER VARIABLES TO THE INDONESIAN CRUDE PALM OIL (CPO) EXPORT
Athika Budi Prihatini1, Rina Oktaviani2 and Tanti Novianti3
Graduate student of Economics Department, Graduate School of Economics Bogor Agricultural University (IPB)
1Professor at the Economics Department and Director of International Trade Analysis and Policy Studies (ITAPS) Faculty of Economics and Management, Bogor Agricultural University (IPB)
2Lecturer at the Economics Department and Researcher of International Trade Analysis and Policy Studies (ITAPS) Faculty of Economics and Management, Bogor Agricultural University (IPB)
3Chairman of Indonesian Agricultural Economics Association of Palembang
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ABSTRACT
Crude Palm Oil (CPO) plays important role in Indonesian economy, especially as the main export commodities of non-oil sector. As a strategic commodity, the development of exports and the spot-futures price of CPO need to be taken in order to increase the contribution of CPO. In line of the issue, the main objective of this study is to analyse price volatility and contribution of spot price, futures price, export price, production, exchange rate, interest rate, inflation and world oil price to export. The daily data for the period Juni 2010-December 2014 and monthly data of January 2009 to December 2014 are taken as input for the study. The volatility are analyzed by applying ARCH-GARCH and contribution price and other variable series are analysed by applying VECM. The test results indicate that spot price and futures price are volatile. The result also shows that the dummy futures prices, production, exchange rates, interest rate, inflation and world oil prices variables have a significant effect on CPO exports. The CPO economic development should be taken into account those significant factors.
Keywords : spot-futures price, volatility, CPO exports