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

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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 harvest...

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Hauptverfasser: Peersman, Gert (VerfasserIn) , Rüth, Sebastian (VerfasserIn) , Van der Veken, Wouter (VerfasserIn)
Dokumenttyp: Article (Journal) Buch/Monographie
Sprache:Englisch
Veröffentlicht: University of Heidelberg, Department of Economics September 2019
Schriftenreihe:Discussion paper series / University of Heidelberg, Department of Economics no. 665
In: Discussion paper series (no. 665)

DOI:10.11588/heidok.00027063
Schlagworte:
Graue Literatur
Online-Zugang:Resolving-System, kostenfrei: https://doi.org/10.11588/heidok.00027063
Verlag, kostenfrei: http://archiv.ub.uni-heidelberg.de/volltextserver/27063/1/Peersman%2C%20R%C3%BCth%2C%20Van%20der%20Veken_2019_dp665.pdf
Resolving-System, kostenfrei: http://hdl.handle.net/10419/207641
Resolving-System, kostenfrei, Volltext: https://nbn-resolving.org/urn:nbn:de:bsz:16-heidok-270637
Volltext
Verfasserangaben:Gert Peersman, Sebastian K. Rüth, and Wouter Van der Veken

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520 |a 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. 
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