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Modelling the relationship between crude oil and agricultural commodity prices

dc.contributor.authorVo, Duc Hong
dc.contributor.authorVu, Tan Ngoc
dc.contributor.authorVo, Anh The
dc.contributor.authorMcAleer, Michael
dc.date.accessioned2023-06-17T17:54:10Z
dc.date.available2023-06-17T17:54:10Z
dc.date.issued2019
dc.description.abstractThe food-energy nexus has attracted great attention from policymakers, practitioners and academia since the food price crisis during the 2007-2008 Global Financial Crisis (GFC), and new policies that aim to increase ethanol production. This paper incorporates aggregate demand and alternative oil shocks to investigate the causal relationship between agricultural products and oil markets, which is a novel contribution. For the period January 2000 - July 2018, monthly spot prices of 15 commodities are examined, including Brent crude oil, biofuel-related agricultural commodities, and other agricultural commodities. The sample is divided into three sub-periods, namely: (i) January 2000 - July 2006; (ii) August 2006 - April 2013; and (iii) May 2013 - July 2018. The Structural Vector Autoregressive (SVAR) model, impulse response functions, and variance decomposition technique are used to examine how the shocks to agricultural markets contribute to the variance of crude oil prices. The empirical findings from the paper indicate that not every oil shock contributes the same to agricultural price fluctuations, and similarly for the effects of aggregate demand shocks on the agricultural market. These results show that the crude oil market plays a major role in explaining fluctuations in the prices and associated volatility of agricultural commodities.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/54769
dc.identifier.issn2341-2356
dc.identifier.relatedurlhttps://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/17466
dc.issue.number11
dc.language.isoeng
dc.page.total54
dc.publisherFacultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rights.accessRightsopen access
dc.subject.jelC32
dc.subject.jelC58
dc.subject.jelQ14
dc.subject.jelQ42
dc.subject.keywordAgricultural commodity prices
dc.subject.keywordVolatility
dc.subject.keywordCrude oil prices
dc.subject.keywordStructural Vector Autoregressive model
dc.subject.keywordImpulse response functions
dc.subject.keywordDecomposition.
dc.subject.ucmEconometría (Economía)
dc.subject.unesco5302 Econometría
dc.titleModelling the relationship between crude oil and agricultural commodity prices
dc.typetechnical report
dc.volume.number2019
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