On the link between oil and agricultural commodity prices: Do biofuels matter?

Paris, Anthony

doi:10.1016/j.inteco.2017.12.003

Cited by 73 publications

(47 citation statements)

References 45 publications

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“…This phenomenon was explained by the fact that at higher oil prices, it is more profitable to use some of the agricultural commodities for biofuel production. This conclusion was supported also by Winchester and Ledvina (2017) and Paris (2017).…”

Section: Literature Reviewsupporting

confidence: 59%

Seasonal patterns in oil prices and their implications for investors

Árendáš

Tkacova

Bukoven

2018

Journal of International Studies

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This paper focuses on the investigation of oil price seasonal patterns and their exploitability in the investment process. As oil is one of the most important and most traded commodities, a successful investment strategy exploiting seasonal patterns in oil price behaviour may be useful for many retail as well as institutional investors. The results show that during the 1983-2017 period, the Brent and WTI oil prices tended to record abnormally positive returns during the months of March, April and August and abnormally negative returns -during the months of October and November. The analysis also shows that simple investment strategies based on switching between the oil market and money market investments, that are utilizing the oil price seasonal patterns, can outperform in the long term.

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Section: Literature Reviewsupporting

confidence: 59%

Seasonal patterns in oil prices and their implications for investors

Árendáš

Tkacova

Bukoven

2018

Journal of International Studies

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“…Recognizing that the relationships between the agricultural and oil markets may be subject to events that can occur contemporaneously, research attempts have been made to separate these mechanisms. Paris [37] uses the cointegrating smooth transition regression model proposed by Choi [38] to detach the biofuels channel from the aggregate demand effect. Wang et al [23] use the SVAR model to differentiate oil-related shocks, including oil supply, aggregate demand, and oil speculative demand shocks, and quantify their significance for the agricultural markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Modeling the Relationship between Crude Oil and Agricultural Commodity Prices

et al. 2019

Energies

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The 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. 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.

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“…Studies such as Liu (2014); Wang et al (2014); Chen (2015); Fernandez-Perez et al (2016); Lucotte (2016); Pal and Mitra (2018) report either a direct impact of crude oil or comovements with the commodities. Also, there are corroborative evidences suggesting that some economic policies or energy developments can buffer the interdependence between oil prices and world commodity prices (e.g., Natanelov et al, 2011;Paris, 2017).…”

Section: Introductionmentioning

confidence: 95%

“…In the literature, studies on the shale oil revolution, as well as the possible spillover effects, are gradually emerging. The few related empirical papers are those conducted by Mȃnescu and Nuno (2015); Bilgili et al (2016); Ansari (2017); Bataa and Park (2017) and Paris (2017) and Monge et al (2017) and their findings offer some insightful motivations for further empirical inquiry. For instance, Bataa and Park (2017) and Monge et al (2017) find that the shale oil revolution has a greater potential to influence global oil prices.…”

Section: Introductionmentioning

confidence: 99%

The U.S. Shale Oil Revolution and the Behavior of Commodity Prices

Salisu

Adediran

2018

ERFIN

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The United States is committed to technological improvements in horizontal drilling and hydraulic fracturing in its drive of toppling the world's leading oil producers by the mid-2020s and evolving into a net oil exporter by 2030. Consequently, these technological innovations revolutionized the U.S. oil sector and the international oil market with increasing relevance of the shale oil and attendant shock spillovers to financial and commodity markets. Upon these attractions and consistent with evidence in the literature, we trace the oil price and commodity price dynamics to the shale oil revolution using a recursive structural VAR model of the shale supply shocks. In line with the standard practice of ensuring sensitivity of results, we conduct analyses such as impulse responses, forecast-error variance decomposition, and historical decompositions to accommodate energy and nonenergy commodity components. We show, in addition to the popular view in the extant literature, that the shale oil revolution is not only associated with the recent oil price plunge, but also responsible for the tumble in the total energy-based commodity prices with crude oil price being just a component.

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On the link between oil and agricultural commodity prices: Do biofuels matter?

Cited by 73 publications

References 45 publications

Seasonal patterns in oil prices and their implications for investors

Seasonal patterns in oil prices and their implications for investors

Modeling the Relationship between Crude Oil and Agricultural Commodity Prices

The U.S. Shale Oil Revolution and the Behavior of Commodity Prices

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