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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CESifo Working Paper ; No. 7826

Classification and Topics

• Classification: Wirtschaft ; Price Level; Inflation; Deflation ; International Finance: General ; International Financial Markets ; Agriculture: Aggregate Supply and Demand Analysis; Prices ; Energy: Demand and Supply; Prices
• Subject: commodity markets ; food prices ; oil prices ; spillovers

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Peersman, Gert ; Rüth, Sebastian ; Van der Veken, Wouter
• Event: Veröffentlichung
• (who): Center for Economic Studies and ifo Institute (CESifo)
• (where): Munich
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/207217
• Last update: 10.03.2025, 11:44 AM CET