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Asymmetric causality in quantiles analysis of the oil-food ‏ ‏nexus since the 1960s

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  • Mokni, Khaled
  • Ben-Salha, Ousama

Abstract

This paper examines the causal relationship between crude oil price and world food price between January 1960 and September 2019. Different from prior studies, it implements an asymmetric causality in quantiles approach. Results report that oil price causes food price under all food market conditions, while the causality from food to oil price runs only during extreme oil market conditions. When accounting for asymmetry, results confirm the presence of Granger causality running from positive and negative oil price changes to food price at almost all quantiles. However, positive and negative food price changes Granger cause oil price only over the lower and upper tail of the oil price distribution. Finally, when controlling for structural breaks, findings suggest that the nature of the bidirectional causal relationship has changed since 2008. The findings of the paper have implications for policymakers and investors in the design of food security policies and investment decisions.

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  • Mokni, Khaled & Ben-Salha, Ousama, 2020. "Asymmetric causality in quantiles analysis of the oil-food ‏ ‏nexus since the 1960s," Resources Policy, Elsevier, vol. 69(C).
    • Handle: RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720309053
    DOI: 10.1016/j.resourpol.2020.101874
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    Cited by:

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    2. Khalfaoui, Rabeh & Baumöhl, Eduard & Sarwar, Suleman & Výrost, Tomáš, 2021. "Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks," Resources Policy, Elsevier, vol. 74(C).
    3. Shahzad, Farrukh & Bouri, Elie & Mokni, Khaled & Ajmi, Ahdi Noomen, 2021. "Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility," Resources Policy, Elsevier, vol. 74(C).
    4. Raza, Syed Ali & Guesmi, Khaled & Belaid, Fateh & Shah, Nida, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    5. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2022. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Resources Policy, Elsevier, vol. 77(C).
    6. Liya Hau & Huiming Zhu & Muhammad Shahbaz & Ke Huang, 2023. "Quantile Dependence between Crude Oil and China’s Biofuel Feedstock Commodity Market," Sustainability, MDPI, vol. 15(11), pages 1-17, June.
    7. Mourad Zmami & Ousama Ben-Salha, 2023. "What factors contribute to the volatility of food prices? New global evidence," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(5), pages 171-184.

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    More about this item

    Keywords

    Oil price; Food price; Causality; Quantile; Asymmetry;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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