The interplay between oil and food commodity prices: Has it changed over time?*

• 成果类型: Article
• 署名作者: Peersman, Gert; Rueth, Sebastian K.; Van der Veken, Wouter
• 署名单位: Ghent University; University of Erfurt; Ruprecht Karls University Heidelberg
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103540
• 发表日期: 2021
• 关键词: Commodity markets; Food prices; oil prices; Informational frictions

摘要

Using a structural time-varying-parameter Bayesian vector autoregression (TVP-BVAR) framework, this paper documents that oil price increases caused by oil supply disruptions did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods and particularly in the era around the Great Recession. 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. The econometric evidence suggests that these developments are not the consequence of the popular biofuels narrative and more likely the result of informational frictions about the global business cycle and information discovery in financialized commodity markets. (c) 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).