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

نویسندگان

چکیده

Using a structural time-varying-parameter Bayesian vector autoregression (TVP-BVAR) framework, this paper documents that oil price increases caused by supply disruptions did not affect food commodity prices before the start of millennium, but had positive spillover effects in more recent periods and particularly era around Great Recession. Likewise, shortfalls global resulting from bad harvests have on crude since early 2000s, contrast to preceding era. The econometric evidence suggests these developments are consequence popular biofuels narrative likely result informational frictions about business cycle information discovery financialized markets.

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ژورنال

عنوان ژورنال: Journal of International Economics

سال: 2021

ISSN: ['0022-1996', '1873-0353']

DOI: https://doi.org/10.1016/j.jinteco.2021.103540