The Interplay between Oil and Food Commodity Prices: Has It Changed over Time?

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

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

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)
JEL-codes: E31 F30 G15 Q11 Q41 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2019-09
New Economics Papers: this item is included in nep-agr, nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://wps-feb.ugent.be/Papers/wp_19_978.pdf (application/pdf)

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)
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:rug:rugwps:19/978

Access Statistics for this paper

More papers in Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration Contact information at EDIRC.
Bibliographic data for series maintained by Nathalie Verhaeghe ().