On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework

Cheng, Sheng; Yan, Cao

doi:10.1016/j.eneco.2019.04.007

Cited by 61 publications

(30 citation statements)

References 72 publications

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“… Melichar and Atems (2019) unveil asymmetric responses in agricultural commodity prices to crude oil markets, and provide evidence of heterogeneity after changes in US energy policy in 2016, with a strong correlation between crude oil and agricultural commodities prices. Cheng and Cao (2019) confirm the fact that there is a nonlinear causal association between crude oil and agricultural commodity markets. Živkov et al (2019a) reveal strong spillover effect from crude oil to barley, corn and soybean in the longer time horizons.…”

Section: Literature Reviewsupporting

confidence: 67%

“…In recent years, there have been a large number of studies concentrating on the interrelatedness between crude oil and agricultural commodity markets. In general, most of the previous studies focused on two strands: price-level connectedness ( Vo et al, 2019 ; Taghizadeh-Hesary et al, 2019 ; Shiferaw, 2019 ; Su et al, 2019 ; Pal and Mitra, 2019 ; Melichar and Atems, 2019 ; Cheng and Cao, 2019 ; Živkov et al 2019a ; Živkov et al, 2019b ; Tiwari et al, 2021 ; Kumar et al, 2020 ; Mensi et al, 2017 ; Kumar et al, 2021 ) and volatility spillover effects across the markets under examination ( Lu et al, 2019 ; Fasanya and Akinbowale, 2019 ; Guhathakurta et al, 2020 ; Kang et al, 2019 ; Chen et al, 2019 ; Tiwari et al, 2018 ; Albulescu et al, 2020 ; Kang et al 2019 , 2019 ). The present study examines the price of the related markets in terms of connectedness and spillovers, and we will, therefore, review several articles with respect to this topic in this section.…”

Section: Literature Reviewmentioning

confidence: 99%

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Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Hung

2021

Resources Policy

100

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This paper represents an analysis of the spillover effects and time-frequency connectedness between crude oil prices and agricultural commodity markets using both the spillover index of Diebold and Yilmaz (2012) and the wavelet coherence model to evaluate whether the time-varying return spillover index exhibited the intensity and direction of transmission during the Covid-19 outbreak. Overall, the current results shed light on that in comparison with the pre-Covid-19 period, and the return spillover is more apparent during the Covid-19 crisis. However, levels of the intensity of this relationship vary through the period of research, with several intervals witnessing both negative and positive interactions. Further, our findings indicate significant heterogeneity among agriculture commodity markets in the degree of spillover to crude oil prices over time, amplifying our understanding of the economic channels through which the agriculture commodity markets are correlated. More importantly, there exist significant dependent patterns about the information spillovers across the crude oil and agriculture commodity markets might provide prominent implications for portfolio managers, investors, and government agencies.

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Section: Literature Reviewsupporting

confidence: 67%

Section: Literature Reviewmentioning

confidence: 99%

Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Hung

2021

Resources Policy

100

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“…The response of oil price to corn and sorghum price shocks were significant due to the impact of agricultural demand shocks on oil price, while the agricultural supply shocks played an insignificant role. Using monthly data from January 1990 to June 2017, Cheng and Cao (2019) examined the relationship between crude oil and food prices and found a significant bidirectional nonlinear causal relationship between global crude oil and food price indices. Moreover, the results from the TVAR and TVECM show that the adjustment process of the food price indices towards equilibrium is highly persistent and grows faster than oil price when a threshold is reached.…”

Section: Literature Reviewmentioning

confidence: 99%

Oil prices and agricultural growth in South Africa: A threshold analysis

Aye

2021

Resources Policy

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Oil plays a pivotal role in the growth of agriculture as a combustion lubricant for machineries and equipment used in the farming enterprise. Several studies have shown that a relationship exists between oil prices and agricultural growth without clear boundaries beyond which these prices are detrimental to the growth. Therefore, this study is conducted to identify the threshold above which oil prices will adversely affect agricultural growth in South Africa. Real West Texas Intermediate (WTI) and Real Brent crude oil prices in both Dollars and Rands were used as threshold variables in the threshold regression model of agricultural growth. The findings showed that beyond the threshold values of 12.99%, 15.68%, 15.69% and 15.70%, the prices of Real WTI crude oil in Dollars, Real Brent crude oil in Dollars, Real WTI crude oil in Rands and Real Brent crude oil in Rands respectively will have significant negative effects on agricultural growth in South Africa.

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“…Once food price goes up due to some exogenous shocks, the overall inflation is inevitably followed, and then the quality of life of the residents deteriorates. Many authors try to investigate the causes of and solutions to soaring food price empirically, the popular results point to the increasing linkages among food, energy, and financial markets (such as crude oil, diesel prices shocks, exchange rates, and financial speculations; Baek & Koo, 2014; Baumeister & Kilian, 2014; Cheng & Cao, 2019; Gilbert, 2010; Irz, Niemi, & Liu, 2013; Jebabli, Arouri, & Teulon, 2014; Kim & Ward, 2013; Zingbagba, Nunes, & Fadairo, 2020). The results of these studies are insightful, but almost all of them focus on purely macroeconomic factors.…”

Section: Introductionmentioning

confidence: 99%

Drivers of food price in China: A heterogeneous panel SVAR approach

2021

Agricultural Economics

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In this paper, we examine the effects of shocks in agricultural output, production material price and production price on China's food price using panel data of 26 provinces for the period 2004 Q1–2015 Q4. Employing a heterogeneous panel structural vector autoregressive (SVAR) model, we identify the causal flows between the endogenous variables via directed acyclic graphs method. The empirical results from impulse response functions and variance decompositions suggest sizeable cross‐province variations. The main driving force of food price is the price inertia shock, rather than the agricultural output or the vertical chain of price transmission shocks. The findings support the view that price expectation is the key shifter of food price. Moreover, the shocks in the vertical chain of price transmission are only weakly linked to food price. Our findings are robust to an alternative panel SVAR model identified via Cholesky decomposition.

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On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework

Cited by 61 publications

References 72 publications

Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak

Oil prices and agricultural growth in South Africa: A threshold analysis

Drivers of food price in China: A heterogeneous panel SVAR approach

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