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On the link between oil and commodity prices: A panel VAR approach

Author

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  • Vincent Brémond

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Emmanuel Hache
  • Marc Joëts

Abstract

The aim of this paper is to study the relationships between the price of oil and a large dataset of commodity prices, relying on panel data settings. Using second generation panel cointegration tests, our findings show that the WTI and commodity prices are not linked in the long term. Nevertheless, considering our results in causality tests, we show that short-run relations exist, mainly from the price of crude oil to commodity prices. We thus implement a panel VAR estimation with an impulse response function analysis. Two main conclusions emerge: (i) fast co-movements are highlighted, while (ii) market efficiency is emphasized.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Vincent Brémond & Emmanuel Hache & Marc Joëts, 2014. "On the link between oil and commodity prices: A panel VAR approach," Post-Print hal-01410606, HAL.
    • Handle: RePEc:hal:journl:hal-01410606
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    References listed on IDEAS

    as
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    Cited by:

    1. Nijat Guliyev, 2018. "The effects of external shocks on Azerbaijan economy," Working Papers 1802, Central Bank of Azerbaijan Republic.
    2. Dupoux, Marion, 2019. "The land use change time-accounting failure," Ecological Economics, Elsevier, vol. 164(C), pages 1-1.
    3. Anthony Paris, 2016. "The Effect of Biofuels on the Link between Oil and Agricultural Commodity Prices: A Smooth Transition Cointegration Approach," EconomiX Working Papers 2016-5, University of Paris Nanterre, EconomiX.
    4. Rafiq, Shuddhasattwa & Bloch, Harry, 2016. "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models," Resources Policy, Elsevier, vol. 50(C), pages 34-48.
    5. Hache, Emmanuel, 2018. "Do renewable energies improve energy security in the long run?," International Economics, Elsevier, vol. 156(C), pages 127-135.
    6. Albert Banal-Estañol & Jeremy Eckhause & Olivier Massol, 2015. "Incentives for early adoption of carbon capture technology: further considerations from a European perspective," Working Papers hal-02475485, HAL.
    7. Vincent Brémond & Emmanuel Hache & Tovonony Razafindrabe, 2015. "On the link between oil price and exchange rate : A time-varying VAR parameter approach," Working Papers hal-03206684, HAL.

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