Long-run trends or short-run fluctuations What establishes the correlation between oil and food prices?
AbstractIn this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for business cycle fluctuations this link exists especially at low frequencies. Thus, short-run phenomena like herd behaviour and speculation do not seem to have a considerable effect on the studied food prices. The relation between oil and food prices is rather established by long-term developments. A possible explanation for this could be the production of biofuel. --
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Bibliographic InfoPaper provided by Verein für Socialpolitik / German Economic Association in its series Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order with number 79798.
Date of creation: 2013
Date of revision:
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Global Commodity Market
This paper has been announced in the following NEP Reports:
- NEP-AGR-2014-02-02 (Agricultural Economics)
- NEP-ALL-2014-02-02 (All new papers)
- NEP-ENE-2014-02-02 (Energy Economics)
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