Time-frequency causality and connectedness between oil price shocks and the world food prices

Syed Ali Raza, Khaled Guesmi, Belaid Fateh and Nida Shah

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Abstract: The goal of this study is to examine the food and oil price nexus from January 1993 to September 2020. To have a broader aspect, we decompose oil prices into demand and supply shocks and food price index into sub-indices such as Meat, Dairy, Cereal, and sugar price indices. The findings show that the association between the food prices and indices with oil prices is bidirectional. Also, results show that the oil prices, demand, and supply shocks are the main contributors to volatility transmission compared to food prices and their sub-indices. The outcome of this study will help the agricultural sector's policymakers develop reliable and sound policy designs that will help control the influence of oil prices on food prices.

Keywords: Oil prices; oil price demand; Oil price shock; food prices and indices; wavelet technique; Volatility spillovers (search for similar items in EconPapers)
Date: 2022-08
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Citations: View citations in EconPapers (9)

Published in Research in International Business and Finance, 2022, 62 (2), pp.101730. ⟨10.1016/j.ribaf.2022.101730⟩

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Journal Article: Time-frequency causality and connectedness between oil price shocks and the world food prices (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04542337

DOI: 10.1016/j.ribaf.2022.101730

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