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Time-frequency causality and connectedness between oil price shocks and the world food prices

Author

Listed:
  • Syed Ali Raza
  • Khaled Guesmi
  • Fateh Belaid

    (UCL FGES - Université Catholique de Lille - Faculté de gestion, économie et sciences - ICL - Institut Catholique de Lille - UCL - Université catholique de Lille, LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

  • Nida Shah

Abstract

The goal of this study is to examine the food and oil price nexus from January 1993 to September 2020. To have a broader aspect, we decompose oil prices into demand and supply shocks and food price index into sub-indices such as Meat, Dairy, Cereal, and sugar price indices. The findings show that the association between the food prices and indices with oil prices is bidirectional. Also, results show that the oil prices, demand, and supply shocks are the main contributors to volatility transmission compared to food prices and their sub-indices. The outcome of this study will help the agricultural sector's policymakers develop reliable and sound policy designs that will help control the influence of oil prices on food prices.

Suggested Citation

  • Syed Ali Raza & Khaled Guesmi & Fateh Belaid & Nida Shah, 2022. "Time-frequency causality and connectedness between oil price shocks and the world food prices," Post-Print hal-04542337, HAL.
    • Handle: RePEc:hal:journl:hal-04542337
    DOI: 10.1016/j.ribaf.2022.101730
    as

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