Volatility Linkages between Energy and Food Prices: Case of Selected Asian Countries
Farhad Taghizadeh-Hesary (),
Ehsan Rasoulinezhad and
Naoyuki Yoshino ()
Additional contact information
Ehsan Rasoulinezhad: Asian Development Bank Institute
No 829, ADBI Working Papers from Asian Development Bank Institute
Abstract:
We examine the linkages between energy price and food prices over the period 2000–2016 by using a Panel-VAR model in the case of 8 Asian economies: Bangladesh, the People’s Republic of China, Indonesia, India, Japan, Sri Lanka, Thailand, and Viet Nam. Our results confirm that energy price (oil price) has a significant impact on food prices. According to the results of impulse response functions, agricultural food prices respond positively to any shock from oil prices. The findings from variance decomposition reveal that shares of oil prices in agricultural food price volatilities are the largest. In the second period 4.81%, and in the 20th period 62.49%, of food price variance is explained by oil price movements. We offer new policy insight. Since We also found that the impact of biofuel prices on food prices is statistically significant but explains less than 2% of the food price variance. However, by increasing the demand for biofuel, especially in advanced countries, there should be more concern about the global increase in agricultural commodities prices and endangering food security, especially in vulnerable economies.
Keywords: oil price; food price; agricultural commodities prices; Panel-VAR model (search for similar items in EconPapers)
JEL-codes: O13 Q11 Q18 Q41 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2018-03-26
New Economics Papers: this item is included in nep-agr, nep-ene, nep-knm and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)
Downloads: (external link)
https://www.adb.org/sites/default/files/publication/411176/adbi-wp829.pdf Full text (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ris:adbiwp:0829
Access Statistics for this paper
More papers in ADBI Working Papers from Asian Development Bank Institute Kasumigaseki Building 8F, 3-2-5, Kasumigaseki, Chiyoda-ku, Tokyo 100-6008, Japan. Contact information at EDIRC.
Bibliographic data for series maintained by ADB Institute ().