How Strong are the Linkages among Agricultural, Oil, and Exchange Rate Markets?

Julieta Frank and Philip Garcia

No 285312, 2010 Conference, April 19-20, 2010, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Highly fluctuating agricultural prices have rekindled questions regarding the influence of volatile oil and exchange rates markets on dynamic behavior. Using weekly cash data from 1998 to 2009 and VAR and VECM procedures, we estimate the linkages among several agricultural grain and livestock commodities, oil, and exchange rates. We identify a structural break in mid 2006, and perform the analysis for each period. In the first period, agricultural commodity prices are most influenced by idiosyncratic factors as reflected in own lagged prices, and exchange rates and crude oil have limited effect on agricultural markets. In the second period the effect of own lags in the agricultural markets are smaller and the effect of the exchange rate and crude oil are more pronounced, especially in the corn market. In recent years, agricultural commodity markets appear more dependent on exchange rates and to a lesser extent on oil prices.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2010-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nccc10:285312

DOI: 10.22004/ag.econ.285312

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