Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/207217
Authors: 
Peersman, Gert
Rüth, Sebastian
Van der Veken, Wouter
Year of Publication: 
2019
Series/Report no.: 
CESifo Working Paper No. 7826
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.
Subjects: 
commodity markets
food prices
oil prices
spillovers
JEL: 
E31
F30
G15
Q11
Q41
Document Type: 
Working Paper

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