Template-type: ReDIF-Paper 1.0
Author-Name: Duc Hong Vo
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name: Tan Ngoc Vu
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name: Anh The Vo
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: Modelling the relationship between crude oil and agricultural commodity prices
Abstract: 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, which is a novel contribution. 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.
Classification-JEL: C32, C58, Q14, Q42.
Keywords: Agricultural commodity prices, Volatility, Crude oil prices, Structural Vector Autoregressive model, Impulse response functions, Decomposition.
Length: 54 pages 
Creation-Date: 2019-03
Number: 2019-11
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1911.txt
File-URL: https://eprints.ucm.es/id/eprint/54769/1/1911.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1911