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

Author

Listed:
  • Vincent Brémond

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

  • Emmanuel Hache

    (IFPEN - IFP Energies nouvelles)

  • Marc Joëts

    (IPAG Business School)

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.

Suggested Citation

  • Vincent Brémond & Emmanuel Hache & Marc Joëts, 2013. "On the link between oil and commodity prices: a panel VAR approach," Working Papers hal-02474855, HAL.
    • Handle: RePEc:hal:wpaper:hal-02474855
    Note: View the original document on HAL open archive server: https://ifp.hal.science/hal-02474855
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    References listed on IDEAS

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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. 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.
    3. Anthony Paris, 2016. "The Effect of Biofuels on the Link between Oil and Agricultural Commodity Prices: A Smooth Transition Cointegration Approach," Working Papers hal-02475518, HAL.
    4. 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.
    5. Dupoux, Marion, 2019. "The land use change time-accounting failure," Ecological Economics, Elsevier, vol. 164(C), pages 1-1.
    6. Emmanuel Hache, 2018. "Do renewable energies improve energy security in the long run?," International Economics, CEPII research center, issue 156, pages 127-135.
    7. 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.

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