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The interplay between oil and food commodity prices : has it changed over time?

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Abstract
Using a structural time-varying-parameter Bayesian vector autoregression (TVP-BVAR) framework, this paper documents that oil price increases caused by oil supply disruptions did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods and particularly in the era around the Great Recession. 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. The econometric evidence suggests that these developments are not the consequence of the popular biofuels narrative and more likely the result of informational frictions about the global business cycle and information discovery in financialized commodity markets. (c) 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords
Economics and Econometrics, Finance, Commodity markets, Food prices, Oil prices, Informational frictions, MONETARY-POLICY, CONSEQUENCES, DISRUPTIONS

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MLA
Peersman, Gert, et al. “The Interplay between Oil and Food Commodity Prices : Has It Changed over Time?” JOURNAL OF INTERNATIONAL ECONOMICS, vol. 133, 2021, doi:10.1016/j.jinteco.2021.103540.
APA
Peersman, G., Rüth, S. K., & Van der Veken, W. (2021). The interplay between oil and food commodity prices : has it changed over time? JOURNAL OF INTERNATIONAL ECONOMICS, 133. https://doi.org/10.1016/j.jinteco.2021.103540
Chicago author-date
Peersman, Gert, Sebastian K. Rüth, and Wouter Van der Veken. 2021. “The Interplay between Oil and Food Commodity Prices : Has It Changed over Time?” JOURNAL OF INTERNATIONAL ECONOMICS 133. https://doi.org/10.1016/j.jinteco.2021.103540.
Chicago author-date (all authors)
Peersman, Gert, Sebastian K. Rüth, and Wouter Van der Veken. 2021. “The Interplay between Oil and Food Commodity Prices : Has It Changed over Time?” JOURNAL OF INTERNATIONAL ECONOMICS 133. doi:10.1016/j.jinteco.2021.103540.
Vancouver
1.
Peersman G, Rüth SK, Van der Veken W. The interplay between oil and food commodity prices : has it changed over time? JOURNAL OF INTERNATIONAL ECONOMICS. 2021;133.
IEEE
[1]
G. Peersman, S. K. Rüth, and W. Van der Veken, “The interplay between oil and food commodity prices : has it changed over time?,” JOURNAL OF INTERNATIONAL ECONOMICS, vol. 133, 2021.
@article{8737547,
  abstract     = {{Using a structural time-varying-parameter Bayesian vector autoregression (TVP-BVAR) framework, this paper documents that oil price increases caused by oil supply disruptions did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods and particularly in the era around the Great Recession. 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. The econometric evidence suggests that these developments are not the consequence of the popular biofuels narrative and more likely the result of informational frictions about the global business cycle and information discovery in financialized commodity markets. (c) 2021 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).}},
  articleno    = {{103540}},
  author       = {{Peersman, Gert and Rüth, Sebastian K. and Van der Veken, Wouter}},
  issn         = {{0022-1996}},
  journal      = {{JOURNAL OF INTERNATIONAL ECONOMICS}},
  keywords     = {{Economics and Econometrics,Finance,Commodity markets,Food prices,Oil prices,Informational frictions,MONETARY-POLICY,CONSEQUENCES,DISRUPTIONS}},
  language     = {{eng}},
  pages        = {{14}},
  title        = {{The interplay between oil and food commodity prices : has it changed over time?}},
  url          = {{http://doi.org/10.1016/j.jinteco.2021.103540}},
  volume       = {{133}},
  year         = {{2021}},
}

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