The interplay between oil and food commodity prices: Has It changed over time?

Gert Peersman (), Sebastian Rüth and Wouter Van der Veken

No 665, Working Papers from University of Heidelberg, Department of Economics

Abstract: Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply ‒ resulting from bad harvests ‒ have positive effects on crude oil prices since the early 2000s, in contrast to the preceding era. Remarkably, we also document greater spillover effects of both supply shocks on metals and minerals commodity prices in recent periods, as well as a stronger impact on the own price compared to earlier decades. This (simultaneous) time variation of commodity price dynamics cannot be explained by the biofuels revolution and is more likely the consequence of heightened informational frictions and information discovery in more globalized and financialized commodity markets.

Keywords: commodity markets; food prices; oil prices; spillovers (search for similar items in EconPapers)
Date: 2019-09-16
New Economics Papers: this item is included in nep-agr and nep-ene
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Related works:
Journal Article: The interplay between oil and food commodity prices: Has it changed over time? (2021)
Working Paper: The Interplay between Oil and Food Commodity Prices: Has It Changed over Time? (2019)
Working Paper: The Interplay between Oil and Food Commodity Prices: Has It Changed over Time? (2019)
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