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On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework
16 references·0 citing·41 second hop
On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework (2019)On the relation between global food and c…Financialization in commodity markets: A passing trend or the new normal? (2015)Financialization in commodity…On the links between stock and commodity markets' volatility (2013)On the links between stock an…Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis (2011)Oil price, agricultural commo…Oil price shocks and their short- and long-term effects on the Chinese economy (2010)Oil price shocks and their sh…How to Understand High Food Prices (2010)How to Understand High Food P…A Note On Rising Food Prices (2008)A Note On Rising Food PricesOil spills on other commodities (2007)Oil spills on other commoditi…Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries (2007)Oil prices, inflation and int…Testing for two-regime threshold cointegration in vector error-correction models (2002)Testing for two-regime thresh…Sample Splitting and Threshold Estimation (2000)Sample Splitting and Threshol…Testing for Linearity (1999)Testing for LinearityTesting and Modeling Multivariate Threshold Models (1998)Testing and Modeling Multivar…Threshold Cointegration (1997)Threshold CointegrationCompetitive Storage and Commodity Price Dynamics (1996)Competitive Storage and Commo…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)Oil price shocks and stock market activity (1999)Dynamic Conditional Correlation (2002)Is gold a safe haven? International evidence (2010)Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014)Oil shocks and stock markets revisited: Measuring connectedness from a global perspective (2017)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Estimation of a Change Point in Multiple Regression Models (1997)Chapter 8 Growth Econometrics (2005)The economics of poverty traps and persistent poverty: An asset-based approach (2006)Remittances, financial development, and growth (2008)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)Volatility spillover between oil and agricultural commodity markets (2012)Forecasting and testing in co-integrated systems (1987)Analysis of Financial Time Series (2006)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Modelling Nonlinear Economic Time Series (2010)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Asymmetric Price Transmission: A Survey (2004)A literature survey on energy–growth nexus (2009)Survey of the international evidence on the causal relationship between energy consumption and growth (2010)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Crude oil and stock markets: Stability, instability, and bubbles (2009)Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade (2010)Dynamic spillovers of oil price shocks and economic policy uncertainty (2014)Anatomy of a crisis: the causes and consequences of surging food prices (2008)Bounds testing approaches to the analysis of level relationships (2001)Long memory and regime switching (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 2000Sample Splitting and Threshold Estimation2,901 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2008A Note On Rising Food Prices1,100 cited
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  • 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
  • 2010How to Understand High Food Prices738 cited
  • 1998Testing and Modeling Multivariate Threshold Models677 cited
  • 2007Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries650 cited
  • 2013On the links between stock and commodity markets' volatility559 cited
  • 1996Competitive Storage and Commodity Price Dynamics524 cited
  • 2007Oil spills on other commodities454 cited
  • 1999Testing for Linearity451 cited
  • 2011Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis422 cited
  • 2010Oil price shocks and their short- and long-term effects on the Chinese economy401 cited

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2015
Financialization in commodity markets: A passing trend or the new normal?
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