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Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context
16 references·16 citing·39 second hopsampled
Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context (2019)Do oil prices drive agricultural commodit…Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model (2018)Risk spillover between energy…Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Dynamic spillover effects amo…Volatility spillover between oil and agricultural commodity markets (2012)Volatility spillover between …Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)Oil price, agricultural commo…World oil prices and agricultural commodity prices: Evidence from an emerging market (2010)World oil prices and agricult…Modeling the relationship between the oil price and global food prices (2010)Modeling the relationship bet…How to Understand High Food Prices (2010)How to Understand High Food P…Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window (2010)Economic growth and energy co…Food versus fuel: What do prices tell us? (2009)Food versus fuel: What do pri…Small sample properties of forecasts from autoregressive models under structural breaks (2004)Small sample properties of fo…Statistical inference in vector autoregressions with possibly integrated processes (1995)Statistical inference in vect…Vector Autoregressions and Causality (1993)Vector Autoregressions and Ca…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with I(1) Processes (1992)Tests for Parameter Instabili…Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Tests for Parameter Instabili…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach (2023)The asymmetric effects of oil…The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities (2022)The U.S.–China Trade War and …Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war (2022)Food inflation and geopolitic…Does technological innovation bring destruction or creation to the labor market? (2022)Does technological innovation…Oil prices and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak (2021)Oil prices and agricultural c…Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis (2021)Can Global Economic Policy Un…The stability of U.S. economic policy: Does it really matter for oil price? (2020)The stability of U.S. economi…Guns and Blood: A Review of Geopolitical Risk and Defence Expenditures (2020)Guns and Blood: A Review of G…Factors driving oil price —— from the perspective of United States (2020)Factors driving oil price —— …Does oil price really matter for the wage arrears in Russia? (2020)Does oil price really matter …Do crude oil price bubbles occur? (2020)Do crude oil price bubbles oc…Copula-based local dependence among energy, agriculture and metal commodities markets (2020)Copula-based local dependence…Can bank credit withstand falling house price in China? (2020)Can bank credit withstand fal…BitCoin: A new basket for eggs? (2020)BitCoin: A new basket for egg…A review of resource curse burden on inflation in Venezuela (2020)A review of resource curse bu…The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices: Measurement based on Markov-switching GRG copula (2019)The dependence structure betw…Impulse response analysis in nonlinear multivariate models (1996)Generalized impulse response analysis in linear multivariate models (1998)Understanding Crude Oil Prices (2008)Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis (2016)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Geopolitical risk and dynamic connectedness between commodity markets (2022)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Optimal Inference in Cointegrated Systems (1991)Making wald tests work for cointegrated VAR systems (1996)Testing for short- and long-run causality: A frequency-domain approach (2005)Energy consumption, carbon emissions, and economic growth in China (2009)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Tourism as a long-run economic growth factor: the Spanish case (2002)Energy consumption, income, and carbon emissions in the United States (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Environmental degradation, economic growth and energy consumption: Evidence of the environmental Kuznets curve in Malaysia (2013)Urbanization, economic growth, energy consumption, and CO2 emissions: Empirical evidence from countries with different income levels (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Rethinking the global food crisis: The role of trade shocks (2010)Index Funds, Financialization, and Commodity Futures Markets (2011)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Sample Splitting and Threshold Estimation (2000)Dealing with Structural Breaks (2005)Exploring the international linkages of the euro area: a global VAR analysis (2007)Inference About the Change-Point in a Sequence of Random Variables (1970)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Electricity consumption, employment and real income in Australia evidence from multivariate Granger causality tests (2003)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)
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References

  • 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited
  • 1992Tests for Parameter Instability in Regressions with 1(1) Processes944 cited
  • 1993Vector Autoregressions and Causality867 cited
  • 2010How to Understand High Food Prices738 cited
  • 2010Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window601 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 1992Tests for Parameter Instability in Regressions with I(1) Processes573 cited
  • 2012Volatility spillover between oil and agricultural commodity markets539 cited
  • 2009Food versus fuel: What do prices tell us?463 cited
  • 2011Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis422 cited
  • 2004Small sample properties of forecasts from autoregressive models under structural breaks394 cited
  • 2010World oil prices and agricultural commodity prices: Evidence from an emerging market333 cited
  • 2010

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Modeling the relationship between the oil price and global food prices
295 cited
  • 2018Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model278 cited
  • Cited by

    • 2022Does technological innovation bring destruction or creation to the labor market?158 cited
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    • 2020BitCoin: A new basket for eggs?116 cited
    • 2020Factors driving oil price —— from the perspective of United States110 cited
    • 2020Do crude oil price bubbles occur?106 cited
    • 2020Guns and Blood: A Review of Geopolitical Risk and Defence Expenditures90 cited
    • 2022Food inflation and geopolitical risks: analyzing European regions amid the Russia-Ukraine war82 cited
    • 2020The stability of U.S. economic policy: Does it really matter for oil price?80 cited
    • 2023The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach79 cited
    • 2020Copula-based local dependence among energy, agriculture and metal commodities markets78 cited
    • 2022The U.S.–China Trade War and the Volatility Linkages between Energy and Agricultural Commodities77 cited
    • 2020Can bank credit withstand falling house price in China?70 cited
    • 2020Does oil price really matter for the wage arrears in Russia?67 cited
    • 2019The dependence structure between crude oil futures prices and Chinese agricultural commodity futures prices: Measurement based on Markov-switching GRG copula63 cited
    • 2021Can Global Economic Policy Uncertainty Drive the Interdependence of Agricultural Commodity Prices? Evidence from Partial Wavelet Coherence Analysis63 cited