This paper assesses empirically the effects of real oil price shocks on the food inflation in Kazakhstan for the monthly period 2004-2019 by using a VAR model. Standard unit root tests do not yield reliable results in the presence of breaks. In this regard, Zivot and Andrews (1992) has been tested with the help of unit root test. Food prices have been proven to be I (1) according to the Zivot and Andrews (1992) test, while I (0) is according to the ADF test. In subsequent steps, the causality test of the variables was performed. According to the test, there is a double-chance causality between oil prices and food prices. The short-term effect of the variables is investigated with the help of the VAR model. As a result, crude oil prices have an indirect impact on food prices.
Oil is an important energy source and basic raw material in the manufacturing process. Therefore, the economies of every country in the world are directly or indirectly dependent on oil. The chain effect of the addiction in question also affects the financial markets. In the study, long-term relationship between energy prices (oil, natural gas and electricity prices) and stock market index for developed countries was analyzed with Multiple Structural Break Panel Cointegration Test. The causality relationship between the variables was examined with Dumitrescu-Hurlin Panel Causality Test. According to the findings of the analysis, it was determined that the series move together in the long term. However, while there was causality between oil prices and natural gas prices in the short term, it was revealed that there was no causality between electricity prices and stock market indices.
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