Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/207641 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Discussion Paper Series No. 665
Verlag: 
University of Heidelberg, Department of Economics, Heidelberg
Zusammenfassung: 
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply - resulting from bad harvests - have positive effects on crude oil prices since the early 2000s, in contrast to the preceding era. Remarkably, we also document greater spillover effects of both supply shocks on metals and minerals commodity prices in recent periods, as well as a stronger impact on the own price compared to earlier decades. This (simultaneous) time variation of commodity price dynamics cannot be explained by the biofuels revolution and is more likely the consequence of heightened informational frictions and information discovery in more globalized and financialized commodity markets.
Schlagwörter: 
Commodity markets
food prices
oil prices
spillovers
JEL: 
E31
F30
G15
Q11
Q41
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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