Modeling the relationship between the oil price and global food prices

Chen, Sheng-Tung; Kuo, Hsiao-I; Chen, Chi‐Chung

doi:10.1016/j.apenergy.2010.02.020

Cited by 227 publications

(152 citation statements)

References 17 publications

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“…Its influence ranges between 0.078 for corn and 0.247 for soybean oil. This result testifies that energy and agricultural prices have become increasingly interwoven, in line with Tang and Xiong (2012) and Chen et al (2010).…”

Section: Resultsmentioning

confidence: 56%

“…Harri et al 2009;Nazlioglu and Soytas, 2011) and the relationship between biofuel and agricultural price variability. This is because energy costs have traditionally influenced agricultural markets through input channels on the supply side, and the expansion of biofuel production has stimulated the demand side of the commodity market, thus affecting prices (Chen et al, 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

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The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

Algieri

2014

Energy Policy

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractBiofuels production has experienced rapid growth worldwide as one of several strategies to promote green energy economies. Indeed, climate change mitigation and energy security have been frequent rationales behind biofuel policies, but biofuels production could generate negative impacts, such as additional demand for feedstocks, and therefore for land on which to grow them, with a consequent increase in food commodity price. In this context, this paper examines the effect of biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in univariate and multivariate settings. The results show that a complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor's (S&P) 500 positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out, in addition, that energy market returns are significant in explaining commodity returns on a daily basis, while monetary liquidity does not. Finally, the GARCH model has shown that current variance is influenced more by its past values than by the previous day's shocks, and there is high persistence, meaning that variance slowly decays and prompts a sluggish "revert to the mean." The multivariate BEKK framework confirms the results of the univariate setting.

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Section: Resultsmentioning

confidence: 56%

Section: Literature Reviewmentioning

confidence: 99%

The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

Algieri

2014

Energy Policy

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“…Harri, Nalley and Hudson [11] and Chang and Su [2] examine the volatility spillover from crude oil futures to corn futures and find that volatility spillover from crude oil to corn are mainly significant during the periods of crisis and crashes in markets. Alghalith [12] and Chen et al [13] also find significant impact of return volatility in crude oil prices on return volatility of agricultural commodities. Gohin and Chantret [14] find a negative relationship between crude oil prices and agricultural commodity markets.…”

Section: Literature Reviewmentioning

confidence: 97%

On Volatility Transmission from Crude Oil to Agricultural Commodities

Kumar¹

2017

TEL

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The paper examines volatility transmission from crude oil market to agricultural commodities like wheat, corn, cotton and soybeans. We find that the volatility transmission from crude oil to agricultural commodities exhibits sudden changes over a study period. We also examine whether the sudden changes in volatility influence the observed sudden changes in volatility transmission from crude oil to agricultural commodities. Our results indicate the observed sudden change in volatility transmission mechanism is not influenced by sudden changes in volatility series.

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“…No caso da agricultura, no entanto, a literatura nacional e internacional não é uníssona em confirmar a existência de transmissão dos choques dos preços do petróleo para as principais commodities agrícolas. Para exemplos de trabalhos que confirmam a existência desta transmissão ver Hanson et al (1993); Chen et al (2010). Por outro lado, a hipótese de transmissão foi refutada nos resultados obtidos por Zhang & Reed (2008); Mutuc et al (2010), entre outros.…”

Section: Embasamento Teórico E Empíricounclassified

Transmissão De Preços Ao Longo Das Cadeias Produtivas Do Brasil

Bini¹,

Canever

Souza

et al. 2016

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ResumoEssa pesquisa avaliou a transmissão de preços entre diferentes elos de cadeias produtivas do Brasil. Especificamente, avaliou-se a transmissão do preço do petróleo para os preços dos três fertilizantes básicos (cloreto de potássio, superfosfato simples e sulfato de amônia) e das commodities (milho, soja e frango), bem como as transmissões entre esses produtos. Os resultados revelam que os preços de fertilizantes e commodities apresentam uma baixa dependência do preço do petróleo. Variações no preço do milho e da soja são parcialmente repassadas para o preço dos fertilizantes e vice-versa. Variações no preço da soja são transmitidas para o preço do milho. Os preços do milho e do frango podem ser considerados mutuamente dependentes. O preço da soja é altamente exógeno, não sendo influenciado pelos demais produtos.Palavras chaves: Petróleo, fertilizantes, VEC. AbstractThis research evaluated a transmission of prices between different links of productive chains in Brazil. Specifically, we evaluated a transmission of the price of oil to the prices of three basic fertilizers (potassium chloride, ammonium sulphate, and simple superphosphate) and commodities (corn, soybean and chicken), as well as transmissions between these products. The results reveal that fertilizer and commodity prices are a low dependence on the price of oil. Variations in the price of corn and soybeans are partially passed on to the price of fertilizers and vice versa. Variations in the price of soybean are transmitted to the price of corn. Prices of corn and chicken can be mutually dependent. The price of soybean is highly exogenous and is not altered by other products.Key words: Oil, fertilizers, VEC.Código JEL: Q02; Q11; Q13 IntroduçãoO Brasil é um importante supridor de commodities, tanto para as exportações quanto para o seu próprio consumo. Dos muitos produtos que o país produz, merece destaque a carne de frango. Além do Brasil estar entre os maiores produtores e consumidores desta carne, devido, entre outros fatores, à maior

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Modeling the relationship between the oil price and global food prices

Cited by 227 publications

References 17 publications

The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

On Volatility Transmission from Crude Oil to Agricultural Commodities

Transmissão De Preços Ao Longo Das Cadeias Produtivas Do Brasil

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