IDEAS home Printed from https://ideas.repec.org/p/mar/magkse/201631.html

Causes of the 2000s Food Price Surge: New Evidence from Structural VAR

Author

Listed:
  • Daniel Grabowski

    (University of Giessen)

Abstract

In 2001 began a rise in the prices of food commodities not seen since the 1970s. Some observers attribute the increase in part to food commodity speculation. This hypothesis is examined by disentangling the impact of speculation on grain prices from that of fundamental supply and demand forces. Even though results point to a generally stabilising infl uence of speculation on prices, speculation is shown to have pushed prices further up during crisis years. The analysis is based on a structural vector autoregressive model identified by sign and zero restrictions. The model is estimated for global corn, wheat and rice markets.

Suggested Citation

  • Daniel Grabowski, 2016. "Causes of the 2000s Food Price Surge: New Evidence from Structural VAR," MAGKS Papers on Economics 201631, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    • Handle: RePEc:mar:magkse:201631
    as

    Download full text from publisher

    File URL: http://www.uni-marburg.de/fb02/makro/forschung/magkspapers/paper_2016/31-2016_grabowski.pdf
    File Function: First 201631
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
    2. Breisinger, Clemens & Ecker, Olivier & Al-Riffai, Perrihan, 2011. "Economics of the Arab awakening: From revolution to transformation and food security," Policy briefs 18, International Food Policy Research Institute (IFPRI).
    3. Al-Riffai, Perrihan & Breisinger, Clemens & Ecker, Olivier, 2011. "Economics of the Arab awakening [in Arabic]: From revolution to transformation and food security," Policy briefs 18 AR, International Food Policy Research Institute (IFPRI).
    4. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
    5. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, January.
    6. Brian D. Wright, 2011. "The Economics of Grain Price Volatility," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 32-58.
    7. Baffes, John & Haniotis, Tassos, 2010. "Placing the 2006/08 commodity price boom into perspective," Policy Research Working Paper Series 5371, The World Bank.
    8. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
    9. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
    10. Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
    11. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
    12. Derek Headey & Shenggen Fan, 2008. "Anatomy of a crisis: the causes and consequences of surging food prices," Agricultural Economics, International Association of Agricultural Economists, vol. 39(s1), pages 375-391, November.
    13. Catherine Hausman & Maximilian Auffhammer & Peter Berck, 2012. "Farm Acreage Shocks and Crop Prices: An SVAR Approach to Understanding the Impacts of Biofuels," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 53(1), pages 117-136, September.
    14. Lutz Kilian & Daniel P. Murphy, 2012. "Why Agnostic Sign Restrictions Are Not Enough: Understanding The Dynamics Of Oil Market Var Models," Journal of the European Economic Association, European Economic Association, vol. 10(5), pages 1166-1188, October.
    15. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
    16. Schaede, Ulrike, 1989. "Forwards and futures in tokugawa-period Japan:A new perspective on the Dojima rice market," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 487-513, September.
    17. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    18. Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew, 1999. "The relative efficiency of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 19(4), pages 413-432, June.
    19. Jacks, David S., 2007. "Populists versus theorists: Futures markets and the volatility of prices," Explorations in Economic History, Elsevier, vol. 44(2), pages 342-362, April.
    20. von Braun, Joachim & Tadesse, Getaw, 2012. "Global Food Price Volatility and Spikes: An Overview of Costs, Causes, and Solutions," Discussion Papers 120021, University of Bonn, Center for Development Research (ZEF).
    21. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    2. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2017. "Commodity Storage and the Market Effects of Biofuel Policies," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 99(4), pages 1027-1055.
    3. Inoue, Atsushi & Kilian, Lutz, 2013. "Inference on impulse response functions in structural VAR models," Journal of Econometrics, Elsevier, vol. 177(1), pages 1-13.
    4. repec:rnp:ppaper:mak8 is not listed on IDEAS
    5. Robin Braun & Ralf Brüggemann, 2017. "Identification of SVAR Models by Combining Sign Restrictions With External Instruments," Working Paper Series of the Department of Economics, University of Konstanz 2017-07, Department of Economics, University of Konstanz.
    6. Kilian, Lutz, 2022. "Facts and fiction in oil market modeling," Energy Economics, Elsevier, vol. 110(C).
    7. Danne, Christian, 2015. "VARsignR: Estimating VARs using sign restrictions in R," MPRA Paper 68429, University Library of Munich, Germany.
    8. Martin Geiger & Johann Scharler, 2018. "How do consumers interpret the macroeconomic effects of oil price fluctuations? Evidence from U.S. survey data," Working Papers 2018-13, Faculty of Economics and Statistics, Universität Innsbruck.
    9. Paul Carrillo‐Maldonado, 2023. "Partial identification for growth regimes: The case of Latin American countries," Metroeconomica, Wiley Blackwell, vol. 74(3), pages 557-583, July.
    10. Gehrke, Britta & Yao, Fang, 2017. "Are supply shocks important for real exchange rates? A fresh view from the frequency-domain," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 99-114.
    11. Britta Gehrke & Fang Yao, 2016. "Persistence and volatility of real exchange rates: the role of supply shocks revisited," Reserve Bank of New Zealand Discussion Paper Series DP2016/02, Reserve Bank of New Zealand.
    12. Marco Brianti, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-05, University of Alberta, Department of Economics.
    13. Inoue, Atsushi & Kilian, Lutz, 2022. "Joint Bayesian inference about impulse responses in VAR models," Journal of Econometrics, Elsevier, vol. 231(2), pages 457-476.
    14. Soohyeon Kim & Jungho Baek & Eunnyeong Heo, 2020. "Crude oil inventories: The two faces of Janus?," Empirical Economics, Springer, vol. 59(2), pages 1003-1018, August.
    15. Dominik Bertsche, 2019. "The effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approachThe effects of oil supply shocks on the macroeconomy: a Proxy-FAVAR approach," Working Paper Series of the Department of Economics, University of Konstanz 2019-06, Department of Economics, University of Konstanz.
    16. Harrison, Andre & Reed, Robert R., 2023. "Gross capital inflows, the U.S. economy, and the response of the Federal Reserve," Journal of International Money and Finance, Elsevier, vol. 139(C).
    17. Lutz Kilian & Xiaoqing Zhou, 2023. "The Econometrics of Oil Market VAR Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 65-95, Emerald Group Publishing Limited.
    18. Mansur, Alfan, 2015. "Identifying Shocks on the Economic Fluctuations in Indonesia and US: The Role of Oil Price Shocks in a Structural Vector Autoregression Model," MPRA Paper 94018, University Library of Munich, Germany, revised 09 Jun 2015.
    19. De, Kuhelika & Compton, Ryan A. & Giedeman, Daniel C., 2022. "Oil shocks and the U.S. economy in a data-rich model," Economic Modelling, Elsevier, vol. 108(C).
    20. Uhrin, Gábor B. & Herwartz, Helmut, 2016. "Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models," University of Göttingen Working Papers in Economics 295, University of Goettingen, Department of Economics.
    21. Wee Chian Koh, 2017. "The effects of macroeconomic shocks on the Brunei economy: a sign restriction approach," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 22(3), pages 414-428, July.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mar:magkse:201631. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bernd Hayo (email available below). General contact details of provider: https://edirc.repec.org/data/vamarde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.