 The interplay between oil and food commodity prices: Has it changed over time?Gert Peersman (), Sebastian Rüth and Wouter Van der Veken Journal of International Economics, 2021, vol. 133, issue C Abstract: Using a structural time-varying-parameter Bayesian vector autoregression (TVP-BVAR) framework, this paper documents that oil price increases caused by oil supply disruptions did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods and particularly in the era around the Great Recession. 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. The econometric evidence suggests that these developments are not the consequence of the popular biofuels narrative and more likely the result of informational frictions about the global business cycle and information discovery in financialized commodity markets. Keywords: Commodity markets; Food prices; Oil prices; Informational frictions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:133:y:2021:i:c:s0022199621001203 DOI: 10.1016/j.jinteco.2021.103540 Access Statistics for this article Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and RodrÃguez-Clare, Andrés More articles in Journal of International Economics from Elsevier |
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