Oil price shocks and agricultural commodity prices |
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| Affiliation: | 1. Antai College of Economics & Management, Shanghai Jiao Tong University, Fahuazhen Road 535, Shanghai, PR China;2. School of Banking and Finance, University of New South Wales, Sydney 2052, Australia;1. Department of Finance and Accounting, El Manar University, B.P. 248, C.P. 2092 Tunis Cedex, Tunisia;2. Lebow College of Business, Drexel University, Philadelphia, PA 19104-2875, United States;3. IPAG Lab, IPAG Business School, 184 Boulevard Saint-Germain, 75006 Paris, France;4. Department of Economics, Pusan National University, Busan 609-735, Republic of Korea |
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| Abstract: | While the impacts of oil price changes on agricultural commodity markets are of great interest to economists, previous studies do not differentiate oil-specific shocks from aggregate demand shocks. In this paper, we address this issue using a structural VAR analysis. Our findings indicate that the responses of agricultural commodity prices to oil price changes depend greatly on whether they are caused oil supply shocks, aggregate demand shocks or other oil-specific shocks mainly driven by precautionary demand. Oil shocks can explain a minor friction of agricultural commodity price variations before the food crisis in 2006–2008, whereas in post-crisis period their explanatory abilities become much higher. After crisis, the contributions of oil-specific factors to variations in agricultural commodity prices are greater than those of aggregate demand shocks. The results from an alternative SVAR confirm the robustness of our main findings. |
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