food versus fuel an updated and expanded evidence abstract this paper replicates the study of zhang et al 2010 food versus fuel what do prices tell us energy policy 38 pp 445 451 we confirm the findings of the original paper that there was only a weak relationship between ethanol and food commodities in the period between march 1989 and july 2008 in addition we extend that study and examine the cointegration relationship between biofuels and related commodities for a considerably enlarged dataset 3 vs 1 market 26 vs 8 commodities analysis up till 2017 vs 2008 weekly vs monthly data frequency focusing on the biofuel markets of brazil the eu and the usa in the three separate periods before during and after the food crisis of 2007 and 2008 we show that studying the time variation of the relationships plays an essential role in their proper understanding our results help to clarify the wide extensive discussion about the role of biofuels prices in food shortages manifested particularly during the food crises in agreement with the original study we confirm that price series data do not support strong statements about biofuels uniformly serving as main leading source of high food prices and consequently the food shortages

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

biodiesel as a motor fuel price stabilization mechanism abstract this article studies the capacity of biofuels to reduce motor fuel price fluctuations for this purpose we study dependence between crude oil and biodiesel blend prices in spain copula models are used for this purpose results suggest that the practice of blending biodiesel with diesel can protect consumers against extreme crude oil price increases

an analysis of policy scenario effects on the adoption of energy production on the farm a case study in emilia romagna italy abstract the agriculture sector s contribution to energy production is a central issue in ongoing policy debates and one of the central elements of the development of bioeconomy sector the common agricultural policy cap is one of the main determinants of the different farm strategies of european farmers the cap is now undergoing a thorough revision process which necessarily includes a debate of the role of the policy in rural areas and the effectiveness of the various cap policy mechanisms the objective of this paper is to assess the impact of alternative cap scenarios in the light of the possible changes in 2013 and the willingness to adopt energy plants for energy crops in the province of bologna italy this is pursued using both survey information and farm household mathematical programming models hence using stated intentions and simulated profitability to analyse the adopt of new technologies for energy production the results underscore the relevance of the cap scenarios in altering intentions with regard to the adoption of energy production and the relevant effect of uncertainty in delaying the diffusion of energy production systems

oil market conditions and sovereign risk in mena oil exporters and importers abstract we analyze for the first time how various levels of oil returns and oil volatility changes affect sovereign risk in static and time varying settings empirical analyses involve daily data from february 14 2011 to november 23 2018 covering a sample of mena oil exporters and importers the results from a quantile based approach show that the sovereign risk of mena oil exporters and importers is directionally predicted by shocks in oil prices and oil volatility especially during the oil crash of 2014 2016 overall the impact of oil returns and volatility changes occur in a very short time span that is within one day lag and the quantile specific reactions of sovereign risk spreads are time varying the impact of oil returns is asymmetric across quantiles the results hold when we control for stock market returns the findings have implications for investors in terms of portfolio and risk management importantly the findings are useful to policymakers for sovereign risk management decisions the cost of sovereign borrowing and the market timing of debt issuance finally the findings matter to bankers given that central and domestic banks hold large amounts of sovereign debt which makes banking systems particularly exposed to their own sovereign stress

dutch disease effect of oil rents on agriculture value added in middle east and north african mena countries abstract this paper investigates the effect of oil rents on agriculture value added in oil producing middle east and north african mena countries annual data from 1970 to 2011 panel cointegration tests by pedroni 1999 long ran panel causality tests by canning and pedroni 2008 and two step system gmm by blundell and bond 1998 are used in this study we find a negative relationship between oil rents and agriculture value added in the long run with a rather slow rate of short run adjustment of agriculture value added back to equilibrium after a boom in oil rents these results indicate that an oil sector boom is associated with a contraction in the agriculture sectors of the countries in the panel in the long run this is probably attributable to a resource movement effect from other economic sectors to the booming oil sector in these countries this serves as evidence of a dutch disease effect of an oil sector boom on agriculture in the mena countries in this study

international lending with moral hazard and risk of repudiation in this paper i examine the constrained optimal pattern of capital flows between a lender and a borrower in an environment in which there are two impediments to forming contracts the first impediment to contracting arises from the assumption that lenders cannot observe whether borrowers invest or consume borrowed funds this assumption leads to a moral hazard problem in investment the second impediment arises from the assumption that the borrower as a sovereign nation may choose to repudiate his debts the optimal contract is shown to specify that the borrowing country experience a capital outflow when the worst realizations of national output occur this seemingly perverse capital outflow forms a necessary part of the optimal solution to the moral hazard problem in investment

spillover network of commodity uncertainties abstract we study time and frequency connectedness among 22 commodity uncertainty indexes applying spillover analysis and network graphs we find that overall connectedness among commodity uncertainties increase during the global financial crisis gfc and the oil price collapse of 2014 16 network analysis shows more spillover within a specific commodity class and that precious metals due to less spillover with other commodities may serve as safe haven during the crisis the decomposition of spillover index reveals that commodity markets are more connected in long run implications of findings are discussed

co movements between crude oil and food prices a post commodity boom perspective using the correlations of var forecast errors at different horizons this paper analyzes the dynamics of co movements between crude oil and food prices for each food price considered a bivariate var model is estimated on two subsample periods a pre commodity boom 1990m1 2006m12 and a post boom period 2007m1 2015m5 our results reveal strong positive co movements between crude oil and food prices in the aftermath of the commodity boom while no statistically significant co movements are observed over the pre boom period hence our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets

government transfers and the samaritan s dilemma in the family this paper examines the effectiveness of government transfersin overcoming the samaritan s dilemma in a family in which thechild saves an insufficient amount in order to induce largerbequests from the parent the results are as follows first exogenous government transfers do not affect intergenerationalconsumption allocation if bequests are operative second assuming that government transfers are chosen strategically the government precommits to such a level of transfers fromthe parent to the child that bequests become inoperative andthus rids the child of the incentive for undersaving thisengenders an efficient intertemporal allocation ofconsumption

biofuel related price transmission literature a review abstract in this article an extensive review of the rapidly growing biofuel related time series literature is carried out the data used the modeling techniques and the main findings of this literature are discussed providing a review of this flourishing research area is relevant as a guidepost for future research this literature concludes that energy prices drive long run agricultural price levels and that instability in energy markets is transferred to food markets

the short and long run efficiency of energy precious metals and base metals markets evidence from the exponential smooth transition autoregressive models abstract the aim of this paper is to investigate the long and short run relationship between spot and futures prices of the energy precious metals and base metals markets we analyze daily data from january 1985 to february 2019 the empirical findings based on the cointegration test which follows a nonlinear process suggest that the spot prices of energy and metals assets have long run relationships with their futures prices nonparametric granger causality test results also indicate bi directional causality among futures and spot prices these findings indicate that the energy and metals markets are informationally efficient in the sense of fama 1970

global oil prices macroeconomic fundamentals and china s commodity sector comovements abstract this paper investigates the common movements of commodity sectors in china as well as the economic underpinnings of the comovements we employ a bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector specific factors of the prices of a group of china s commodity sectors petrochemicals grains energy non ferrous metals oils fats and softs the results indicate that the common factor accounts for a significant portion of the fluctuations of china s commodity sectors providing evidence of the strong commodity sector comovements in china we further use a var model to link the common movements across china s commodity sectors to the underlying determinants including global oil price shocks and domestic macroeconomic fluctuations we find that the global oil price shocks have strong effects on the common movements across commodity sectors in china in addition to its domestic macroeconomic fluctuations at long horizons however at short horizons the common movements across commodity sectors in china respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations

causality and predictability in distribution the ethanol food price relation revisited abstract this paper examines the relationship between biofuels field crops and cattle prices in the u s from a new perspective we focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution or vice versa density forecasts are constructed using conditional autoregressive expectile models estimated with asymmetric least squares forecast evaluation relies on quantile weighed scoring rules which identify regions of the distribution of interest to the analyst results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns on the contrary there is no evidence that ethanol can be used to forecast any region of the field crops or cattle returns distributions

the dependence structure across oil wheat and corn a wavelet based copula approach using implied volatility indexes abstract this paper examines the dependence structure between three commodities implied volatility indexes oil wheat and corn during bear normal and bull markets and at different scales for this purpose we combine wavelet and copula methods to analyse the changes of the tail dependence at different scales or investment horizons the results support evidence of time varying asymmetric tail dependence between the pair of cereals as well as between oil and the two cereals at different time horizons short term horizon medium term horizon and long term horizon suggesting that the dependence structure is sensitive to time horizons these results have important implications for the analysis of portfolio risk management

do food and oil prices co move abstract this paper studies co movements between world oil prices and global prices for corn soybean and wheat using copulas several copula models with different conditional dependence structures and time varying dependence parameters were considered empirical results for weekly data from january 1998 to april 2011 showed weak oil food dependence and no extreme market dependence between oil and food prices these results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non contagion between the crude oil and agricultural markets however dependence increased significantly in the last three years of the sampling period even though upper tail dependence remained insignificant indicating that food price spikes are not caused by positive extreme oil price changes these results have implications for policy design risk management and hedging strategies

dynamic jumps in global oil price and its impacts on china s bulk commodities abstract this paper investigated the impacts of oil price shocks especially dynamic jumps in its returns on china s bulk commodity markets at both the aggregate and industry levels after setting a zero lower bound to the jump intensity of the arji model we found that dynamic jumps exist in oil price movements moreover under shocks of oil price jumps not only the returns but also the risks of china s bulk commodity markets are affected significantly and the reactions of risks are characterized by overreactions meanwhile by decomposing oil price shocks into expected positive negative and unexpected positive negative components we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels while those of the expected shocks are negative and insignificantly asymmetric at the industry level in addition the volatility clustering of all price movements and the permanent volatility effects on china s bulk commodities are also authenticated by applying the garch family models

the impact of energy prices on the volatility of ethanol prices and the role of gasoline emissions abstract the contribution of renewable energy resources is vital for a country s economic growth by providing high efficiency in energy as well as an effective tool for the confrontation of climate change in particular concerning the eu an increase in the consumption of renewable energy resources as a proportion of the total energy consumption by its member states was set as an objective until 2020 ethanol has been widely used as a substitute to conventional energy like gasoline and oil the present paper surveys the role of alternative energy prices and gas emissions in the formation of the ethanol prices the results of the empirical survey confirmed the existence of a sole relationship among the variables employed according to the results obtained an increase in the volume of emissions or in gasoline prices results in an increase in ethanol prices while the opposite is confirmed in the case of crude oil he elasticity of ethanol prices to the increase of the emissions is another result worth mentioning indicative of the significant role of the emissions in the formation of ethanol prices

linear and nonlinear causality between sectoral electricity consumption and economic growth evidence from taiwan this study investigates the linear and nonlinear causality between the total electricity consumption tec and real gross domestic production rgdp unlike previous literature we solve the undetermined relation between rgdp and electricity consumption by classifying tec into industrial sector consumption isc and residential sector consumption rsc as well as investigating how tec isc and rsc influence taiwan s rgdp by using the granger s linear causality test it is shown that i there is a bidirectional causality among tec isc and rgdp but a neutrality between rsc and rgdp with regard to the linear causality and ii there is still a bidirectional causality between tec and rgdp but a unidirectional causality between rsc and rgdp with regard to the nonlinear causality on the basis of i and ii we suggest that the electricity policy formulators loosen the restriction on isc and limit rsc in order to achieve the goal of economic growth

estimating a nonlinear rational expectations commodity price model with unobservable state variables this paper is concerned with the estimation of a model in which a possibly serially correlated stochastic process the harvest of an agricultural commodity generates a competitive price in a market comprising both final consumers and risk neutral speculators who can store the commodity at a cost in the anticipation of profit because storage cannot be negative the relationship between prices and harvests is inherently nonlinear and is an unpromising candidate for a linear quadratic model or for linearization more generally instead we calculate numerically a policy function in which price is a function of two unobservable state variables the harvest and current availability and we use the result to fit the price data

food versus fuel what do prices tell us abstract sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short run versus the long run impacts using time series prices on fuels and agricultural commodities the aim is to investigate the long run cointegration of these prices simultaneously with their multivariate short run interactions results indicate no direct long run price relations between fuel and agricultural commodity prices and limited if any direct short run relationships in terms of short run price movements sugar prices are influencing all the other agricultural commodity prices except rice with sugar the number one world input for ethanol results indicate increased ethanol production is potentially influencing short run agricultural commodity prices overall results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event shock

a new statistic and practical guidelines for nonparametric granger causality testing abstract in this paper we introduce a new nonparametric test for granger non causality which avoids the over rejection observed in the frequently used test proposed by hiemstra and jones 1994 testing for linear and nonlinear granger causality in the stock price volume relation journal of finance 49 1639 1664 after illustrating the problem by showing that rejection probabilities under the null hypothesis may tend to one as the sample size increases we study the reason behind this phenomenon analytically it turns out that the hiemstra jones test for the null of granger non causality which can be rephrased in terms of conditional independence of two vectors x and z given a third vector y is sensitive to variations in the conditional distributions of x and z that may be present under the null to overcome this problem we replace the global test statistic by an average of local conditional dependence measures by letting the bandwidth tend to zero at appropriate rates the variations in the conditional distributions are accounted for automatically based on asymptotic theory we formulate practical guidelines for choosing the bandwidth depending on the sample size we conclude with an application to historical returns and trading volumes of the standard and poor s index which indicates that the evidence for volume granger causing returns is weaker than suggested by the hiemstra jones test

how is volatility in commodity markets linked to oil price shocks abstract this study investigates the effects of oil price shocks on volatility of agricultural and metal commodities we decompose an oil price shock to its underlying components including macroeconomics and oil specific shocks the applied method is the structural vector autoregressive svar model and the time span is from april 1983 to may 2014 the investigation is divided into two subsamples before and after may 2006 for agriculture taking into account the 2006 2008 food crisis and change in u s ethanol production policy and before and after january 2008 for metals considering the recent global financial crisis we find that based on impulse response functions the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying cause of the shock for the both periods moreover according to variance decomposition the explanatory power of oil shocks becomes stronger after the crisis the different responses of commodities are described in detail by investigating market characteristics in each period

testing for linear and nonlinear granger causality in the stock price volume relation linear and nonlinear granger causality tests are used to examine the dynamic relation between daily dow jones stock returns and percentage changes in new york stock exchange trading volume we find evidence of significant bidirectional nonlinear causality between returns and volume we also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by clark s 1973 latent common factor model after controlling for volatility persistence in returns we continue to find evidence of nonlinear causality from volume to returns

world oil and agricultural commodity prices evidence from nonlinear causality abstract the increasing co movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities this study extends the literature on the oil agricultural commodity prices nexus which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices corn soybeans and wheat to this end the linear causality approach of toda yamamoto and the nonparametric causality method of diks panchenko are applied to the weekly data spanning from 1994 to 2010 the linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other which supports evidence on the neutrality hypothesis in contrast the nonlinear causality analysis shows that i there are nonlinear feedbacks between the oil and the agricultural prices and ii there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices the findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers farmers and global investors this study also suggests the directions for future studies

nonlinear causality between crude oil price and exchange rate a comparative study of china and india a failed replication negative type 1 and type 2 evidence published in this journal by bal and rath 2015 purports a bidirectional nonlinear causality between oil price and india s exchange rate and for china unidirectional nonlinear causality running from exchange rate to oil price their entire testing protocol and ensuing results rest upon claims that all the variables contain a unit root we raise several critical issues and revisit the order of integration of the series as well as their cointegration and granger causality properties through a pure replication and a reanalysis contrary to bal and rath 2015 when we repeat their estimated model with their specification of the ng and perron 2001 unit root test on their data we find that their oil price series rol is level stationary negative replication type 1 a result which makes all their subsequent results biased and misleading our reanalysis confirms that rol is i 0 linearly as well as nonlinearly we also find that the basic bivariate model proposed by bal and rath 2015 fails to produce statistically robust and stable cointegrating patterns nonlinear causality tests confirm the absence of any nonlinear causality for both countries negative replication type 2

dynamic relationships between crude oil prices and socially responsible investing in brazil evidence for linear and non linear causality abstractrecent years have witnessed an increasing interest in socially responsible investing sri reflecting investors growing awareness of social environmental ethical and corporate governance issues at the same time the effect of oil price shocks on stock price returns has become a prominent issue due to surges in energy prices using the brazilian corporate sustainability index ise as a benchmark for socially responsible investments in the brazilian stock market the present study extends the understandings on the impact of oil prices on stock price behaviour focusing on a new class of assets those from socially responsible firms to this end apart from conventional linear causality approaches we apply a nonparametric test by diks and panchenko dp on daily data spanning from january 2008 to december 2015 to test for non linear causality before and after controlling for conditional heteroscedasticity our findings show that in spite of their efforts to become more socially responsible

the effects of oil prices on the price indices in taiwan international or domestic oil prices matter abstract this study employs the multivariate threshold model developed by tsay 1998 to examine the effects of international and domestic oil prices on the price indices in taiwan using monthly data from january 1999 to december 2011 the results show that changes in domestic oil prices do not granger cause changes in the price indices when the oil price change exceeds the threshold level however international oil price shocks still affect the wholesale price index through the effects of announcement and expectation therefore controlling domestic oil prices to prevent volatility in the price indices is ineffective if we focus on the period when the left wing party is in power we also find that changes in international oil prices have more critical effects on the price indices than changes in domestic oil prices however the lead lag relationship between changes in domestic oil prices and changes in the price indices vanishes except with respect to the transportation category where the consumer price index is affected by domestic oil prices this result may be due to the government s extensive intervention in setting oil prices

the relationship between co2 emissions and economic growth the case of korea with nonlinear evidence abstract using star models we investigate the nonlinear dynamic properties and the interdependence of co2 emissions and economic growth for korea the estimation results indicate that the growth rate of both co2 emissions and industrial production exhibit a significant nonlinear asymmetric dynamics while the linear granger causality test finds no causality in any direction the results of the nonlinear granger causality tests show a two way causality between co2 emissions and economic growth the strong mutual causation between co2 emissions and economic activities indicates that the economic impact from co2 mitigation is expected to be higher in korea this suggests that the appropriate energy and environmental policy be to mitigate co2 emissions while having less impact on the economy

impact of energy prices and cellulosic biomass supply on agriculture energy and the environment an integrated modeling approach abstract the accelerated growth in biofuel markets has both created and reinforced linkages between agriculture and energy the evolution of biofuel markets over the next 10 20 years and the implications for energy agriculture and the environment are uncertain building on an integrated agriculture energy modeling framework this study analyzes a baseline and three alternative scenarios two scenarios based on energy prices crude oil and natural gas and one based on assumptions regarding cellulosic biomass availability by examining the impact of scenarios driven by a changes in the energy sector and b changes in the agricultural sector we can compare the differential effects on biofuels markets commodity prices and quantities in each sector and co 2 emissions scenario comparisons show biofuel markets affected more by crude oil prices than natural gas prices however higher natural gas prices shift the biofuel production mix away from corn grain based to more cellulosic ethanol via multiple mechanisms alternatively the scenario with no cellulosic feedstock lowers total ethanol production and raises ethanol and corn prices in terms of environmental impacts higher ethanol levels driven by higher oil prices lead to lower co 2 emissions in comparison the no cellulosic scenario results in the highest co 2 trajectory relative to the baseline

economic growth and energy consumption revisited evidence from linear and nonlinear granger causality the relationship between energy consumption and economic growth is considered as an imperative issue in energy economics previous studies have ignored the nonlinear behavior which could be caused by structural breaks in this study both linear and nonlinear granger causality tests are applied to examine the causal relationship between energy consumption and economic growth for a sample of asian newly industrialized countries as well as the u s this study finds evidence supporting a neutrality hypothesis for the united states thailand and south korea however empirical evidence on philippines and singapore reveals a unidirectional causality running from economic growth to energy consumption while energy consumption may have affected economic growth for taiwan hong kong malaysia and indonesia policy implications are also discussed

the effect of global oil price shocks on china s agricultural commodities abstract this paper studied the effect of global oil price shocks on agricultural commodities in china including strong wheat corn soybean bean pulp cotton and natural rubber we regarded oil price volatility process as a combination of continuous process and jump process we not only separated oil price shocks into positive and negative categories to identify different effects on agricultural commodities in continuous process but also investigated how jump behavior influenced these agricultural commodities we found that the oil price was characterized by volatility clustering and jump behavior at the same time oil price shocks had different effects on agricultural commodities in addition the shocks on most agricultural commodities were asymmetric only natural rubber was under influence of the jump intensity of the oil price in contrast to strong wheat corn soybean bean pulp and cotton

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

contemporaneous interactions among fuel biofuel and agricultural commodities abstract this study examines the contemporaneous interactions among energy oil and ethanol and agricultural commodities corn soybean and wheat in the united states during the period 1 june 2006 to 22 january 2016 since traditional var analysis is not able to capture the contemporaneous interactions among these commodities we employ a structural var analysis in combination with the identification through heteroskedasticity approach the empirical results indicate that i the contemporaneous interactions are important asymmetric and have implications for impulse response functions ii crude oil has a unidirectional contemporaneous impact on the agricultural commodities and the agricultural commodities corn and soybean mostly used in the biofuel production have a unidirectional contemporaneous impact on ethanol and finally iii these contemporaneous relations depend on the price level of crude oil in that there are stronger effects from crude oil agricultural commodities to agricultural commodities ethanol in high crude oil price states

volatility spillover between oil and agricultural commodity markets abstract this study examines volatility transmission between oil and selected agricultural commodity prices wheat corn soybeans and sugar we apply the newly developed causality in variance test and impulse response functions to daily data from 01 january 1986 to 21 march 2011 in order to identify the impact of the food price crisis the data are divided into two sub periods the pre crisis period 01 january 1986 to 31 december 2005 and the post crisis period 01 january 2006 21 march 2011 the variance causality test shows that while there is no risk transmission between oil and agricultural commodity markets in the pre crisis period oil market volatility spills on the agricultural markets with the exception of sugar in the post crisis period the impulse response analysis also indicates that a shock to oil price volatility is transmitted to agricultural markets only in the post crisis period this paper thereby shows that the dynamics of volatility transmission changes significantly following the food price crisis after the crisis risk transmission emerges as another dimension of the dynamic interrelationships between energy and agricultural markets

time frequency contained co movement of crude oil and world food prices a wavelet based analysis abstract this paper evaluates the association between crude oil prices and world food price indices first within general space and time and then within the combined time frequency sphere monthly price data spanning from january 1990 to february 2016 were used for the analysis the johansen cointegration test conducted within the time domain confirmed the statistically significant cointegrated relationship between crude oil prices and the price indices of food and its sub categories such as dairy cereals vegetable oil and sugar however frequency information was not accounted for to incorporate both the time and frequency features of the data we used a wavelet method that has shown that the world food prices along with the prices of cereals vegetable oils and sugar co move with and are led by crude oil prices results that remain relevant from the short run policy perspective the outcome of toda yamamoto causality confirmed the spillover of crude oil price changes to the world food price index also in the long run the paper ends with the policy implications of these results

the long run impact of energy prices on world agricultural markets the role of macro economic linkages the world prices of some food and energy products have followed similar large swings in recent years we investigate the long run relationship between these prices using a world computable general equilibrium model with detailed representations of food and energy markets particular attention is paid to specifying macro economic linkages which have often been overlooked in recent analysis and debate we find that the omission of these macro economic linkages has a substantial bearing on this relationship a positive relationship due to the cost push effect has been identified in most analysis but we find that the introduction of the real income effect may indeed imply a negative relationship between world food and energy prices

energy milk price transmission at the product brand level this article estimates the pass through rates between diesel fuel and retail milk prices at the product brand level using a random coefficient logit demand model and taking the direct and indirect impacts of energy prices this research identifies changes in pass through rates before and after the great recession in 2008 empirical results show that diesel prices significantly impacted the retail prices of milk products and are an important determinant of food price inflation pass through rates are estimated to range from 0 16 to approximately 0 60 through 2008 with an average of 0 22 for the whole period statistical tests indicate that pass through rates before june 2008 were significantly higher than after june 2008 when they dropped significantly to 0 04 to 0 17 interestingly private label brands have the lowest pass through rates implying that compared to manufacturer brands private label prices are more insulated from diesel price shocks

world oil prices and agricultural commodity prices evidence from an emerging market abstract oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate this paper examines the short and long run interdependence between world oil prices lira dollar exchange rate and individual agricultural commodity prices wheat maize cotton soybeans and sunflower in turkey to this end the toda yamamoto causality approach and generalized impulse response analysis for identification of the long and short run interrelationships are applied to the monthly data spanning from january 1994 to march 2010 the impulse response analysis suggests the turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short run the long run causality analysis reveals that the changes in oil prices and appreciation depreciation of the turkish lira are not transmitted to agricultural commodity prices in turkey hence our results support neutrality of agricultural commodity markets in turkey to both direct and indirect effects of oil price changes

the relationship between crude oil spot and futures prices cointegration linear and nonlinear causality the present study investigates the linear and nonlinear causal linkages between daily spot and futures prices for maturities of one two three and four months of west texas intermediate wti crude oil the data cover two periods october 1991 october 1999 and november 1999 october 2007 with the latter being significantly more turbulent apart from the conventional linear granger test we apply a new nonparametric test for nonlinear causality by diks and panchenko after controlling for cointegration in addition to the traditional pairwise analysis we test for causality while correcting for the effects of the other variables to check if any of the observed causality is strictly nonlinear in nature we also examine the nonlinear causal relationships of vecm filtered residuals finally we investigate the hypothesis of nonlinear non causality after controlling for conditional heteroskedasticity in the data using a garch bekk model whilst the linear causal relationships disappear after vecm cointegration filtering nonlinear causal linkages in some cases persist even after garch filtering in both periods this indicates that spot and futures returns may exhibit asymmetric garch effects and or statistically significant higher order conditional moments moreover the results imply that if nonlinear effects are accounted for neither market leads or lags the other consistently videlicet the pattern of leads and lags changes over time

fossil fuel price uncertainty and feedstock edible oil prices evidence from mgarch m and virf analysis abstract this paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils rapeseed soybean and sunflower which are the main feedstock for the biodiesel industry in the european union for this purpose a four variate version of non diagonal garch in mean model that allows for asymmetry in the variance covariance matrix is used an important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study the volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock however the size of the impacts is mainly commodity specific finally we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the granger causality test and generalized impulse response function analysis respectively the empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices

dynamic spillovers among major energy and cereal commodity prices abstract over the past decade the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them this article deals with the dynamic return and volatility spillovers across international energy and cereal commodity markets it also examines the impacts of three types of opec news announcements on the volatility spillovers and persistence in these markets for this purpose we make use of the var bekk garch and var dcc garch models for the daily spot prices of eight major commodities including wti oil europe brent oil gasoline heating oil barley corn sorghum and wheat our results provide evidence of significant linkages between these energy and cereal markets moreover the opec news announcements are found to exert influence on the oil markets as well as on the oil cereal relationships finally we show that the persistence of volatility decreases increases for the crude oil and heating oil gasoline returns after accounting for the opec announcements in these multivariate garch models however the results are more mixed for the cereal markets overall our results can be used to improve the risk adjusted performance by having more diversified portfolios and also serve to hedge the oil risk more effectively