Do food and oil prices co-move?

This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to...

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Published in	Energy policy Vol. 49; pp. 456 - 467
Main Author	Reboredo, Juan C.
Format	Journal Article
Language	English
Published	Kidlington Elsevier Ltd 01.10.2012 Elsevier Elsevier Science Ltd
Subjects	Agricultural commodities Agricultural commodity prices Agricultural economics Agricultural management Agronomy. Soil science and plant productions Applied sciences Biological and medical sciences Co-movement Commodity prices Corn Crude oil Crude oil prices Economic data Energy Energy economics Energy policy Exact sciences and technology Food Food prices Foods Fossil fuels and derived products Fundamental and applied biological sciences. Psychology General, economic and professional studies Generalities. Biometrics, experimentation. Remote sensing Hedging issues and policy Markets Methodology. Modelling Neutrality Oil Oil price Oil prices oils petroleum Petroleum industry Prices Risk management Sampling Soybeans Strategic planning Strategy Studies Triticum aestivum Wheat Oil prices Co-movement Agricultural commodity prices Time series Corn Econometric model Autoregressive model Foodstuff Soybean Modeling Petroleum Price Covariation Cereal Wheat
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Abstract	This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. ► We study co-movement between food and oil markets through copulas. ► Food prices are neutral to the effects of changes in oil prices. ► Oil price spikes had no causal effect on agricultural price spikes. ► Oil–corn and oil–soybean dependence increased in recent years. ► Food subsidy policies and price controls are unnecessary to avoid extreme oil prices.
AbstractList	This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. All rights reserved, Elsevier This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. ► We study co-movement between food and oil markets through copulas. ► Food prices are neutral to the effects of changes in oil prices. ► Oil price spikes had no causal effect on agricultural price spikes. ► Oil–corn and oil–soybean dependence increased in recent years. ► Food subsidy policies and price controls are unnecessary to avoid extreme oil prices. This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. [PUBLICATION ABSTRACT] This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different conditional dependence structures and time-varying dependence parameters were considered. Empirical results for weekly data from January 1998 to April 2011 showed weak oil-food dependence and no extreme market dependence between oil and food prices. These results support the neutrality of agricultural commodity markets to the effects of changes in oil prices and non-contagion between the crude oil and agricultural markets. However, dependence increased significantly in the last three years of the sampling period, even though upper tail dependence remained insignificant, indicating that food price spikes are not caused by positive extreme oil price changes. These results have implications for policy design, risk management and hedging strategies. . [Copyright Elsevier Ltd.]
Author	Reboredo, Juan C.
Author_xml	– sequence: 1 givenname: Juan C. surname: Reboredo fullname: Reboredo, Juan C. email: juancarlos.reboredo@usc.es organization: Department of Economics, Avda, Xoán XXIII, S/N, 15782, Universidade de Santiago de Compostela, Spain
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Snippet	This paper studies co-movements between world oil prices and global prices for corn, soybean and wheat using copulas. Several copula models with different...
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SubjectTerms	Agricultural commodities Agricultural commodity prices Agricultural economics Agricultural management Agronomy. Soil science and plant productions Applied sciences Biological and medical sciences Co-movement Commodity prices Corn Crude oil Crude oil prices Economic data Energy Energy economics Energy policy Exact sciences and technology Food Food prices Foods Fossil fuels and derived products Fundamental and applied biological sciences. Psychology General, economic and professional studies Generalities. Biometrics, experimentation. Remote sensing Hedging issues and policy Markets Methodology. Modelling Neutrality Oil Oil price Oil prices oils petroleum Petroleum industry Prices Risk management Sampling Soybeans Strategic planning Strategy Studies Triticum aestivum Wheat
Title	Do food and oil prices co-move?
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