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ID: 115671

Do food and oil prices co-move? / Reboredo, Juan C

Reboredo, Juan C	Journal Article
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2012.

Summary/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.

Key Words

Oil Prices ; Agricultural Commodity Prices ; Co - Movement

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ID: 109350

Is there co-movement of agricultural commodities futures prices / Natanelov, Valeri; Alam, Mohammad J; McKenzie, Andrew M; Huylenbroeck, Guido Van

Huylenbroeck, Guido Van	Journal Article
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Publication

2011.

Summary/Abstract

Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold.

Key Words

Threshold Cointegration ; Commodities Futures ; Co - Movement

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