Co-movements between crude oil and food prices: A post-commodity boom perspective

Yannick Lucotte

Economics Letters, 2016, vol. 147, issue C, 142-147

Abstract: Using the correlations of VAR forecast errors at different horizons, this paper analyzes the dynamics of co-movements between crude oil and food prices. For each food price considered, a bivariate VAR model is estimated on two subsample periods: a pre-commodity-boom (1990M1–2006M12) and a post-boom period (2007M1–2015M5). Our results reveal strong positive co-movements between crude oil and food prices in the aftermath of the commodity boom, while no statistically significant co-movements are observed over the pre-boom period. Hence, our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets.

Keywords: Crude oil prices; Food prices; Co-movements; Dynamic correlations; VAR models (search for similar items in EconPapers)
JEL-codes: E31 E37 Q02 Q11 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:147:y:2016:i:c:p:142-147

DOI: 10.1016/j.econlet.2016.08.032

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