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

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  • Lucotte, Yannick

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.

Suggested Citation

  • Lucotte, Yannick, 2016. "Co-movements between crude oil and food prices: A post-commodity boom perspective," Economics Letters, Elsevier, vol. 147(C), pages 142-147.
    • Handle: RePEc:eee:ecolet:v:147:y:2016:i:c:p:142-147
    DOI: 10.1016/j.econlet.2016.08.032
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    More about this item

    Keywords

    Crude oil prices; Food prices; Co-movements; Dynamic correlations; VAR models;
    All these keywords.

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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