eprintid: 27063
rev_number: 20
eprint_status: archive
userid: 3114
dir: disk0/00/02/70/63
datestamp: 2019-09-16 12:18:39
lastmod: 2019-11-04 14:26:26
status_changed: 2019-09-16 12:18:39
type: workingPaper
metadata_visibility: show
creators_name: Peersman, Gert
creators_name: Rüth, Sebastian K.
creators_name: Van der Veken, Wouter
title: The interplay between oil and food commodity prices: Has It changed over time?
subjects: ddc-330
divisions: i-181000
keywords: commodity markets, food prices, oil prices, spillovers
abstract: 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.
date: 2019-09
id_scheme: DOI
id_number: 10.11588/heidok.00027063
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0665
ppn_swb: 167736114X
own_urn: urn:nbn:de:bsz:16-heidok-270637
language: eng
bibsort: PEERSMANGETHEINTERPL201909
full_text_status: public
series: Discussion Paper Series / University of Heidelberg, Department of Economics
volume: 0665
place_of_pub: Heidelberg
pages: 38
citation:   Peersman, Gert ; Rüth, Sebastian K. ; Van der Veken, Wouter  (2019) The interplay between oil and food commodity prices: Has It changed over time?  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/27063/1/Peersman%2C%20R%C3%BCth%2C%20Van%20der%20Veken_2019_dp665.pdf