The relationship between agricultural commodity prices, crude oil prices and US dollar exchange rates: a panel VAR approach and causality analysis

Abstract

This study examines the relationship between crude oil prices, US dollar exchange rates and 30 selected international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods and Granger causality tests on panel data sets of agricultural commodity prices (as well as specific agricultural commodity sub-groups) and fertilizer prices with monthly observations of the period from June 1983 to June 2013. The empirical results of the present study indicate that crude oil prices as well as US dollar exchange rates affect international agricultural commodity and fertilizer prices. Furthermore, contrary to the findings of several studies in the literature, the present study supports bidirectional panel causality effects between crude oil prices and international agricultural prices as well as between US exchange rates and international agricultural prices.

Volatility Spillovers and Heavy Tails: A Large T-Vector Autoregressive Approach

“…Furthermore, we visualize volatility spillovers using networks built on forecast error variance decomposition. We find evidence of bidirectional volatility spillovers between energy and agricultural commodities, regardless of the fact of being biofuel crops or not (Rezitis, 2015).…”

Copula-Based Local Dependence Between Energy, Agriculture and Metal Commodity Markets

“…A first strand of the literature focuses on the relationship between energy and agriculture commodities, addressing the price co-movements and volatility spillovers. In terms of price comovements, early studies use linear cointegration techniques (Avalos, 2014;Baumeister and Kilian, 2014;Nazlioglu and Soytas, 2012;Saghaian, 2010;Rezitis, 2015;Liu et al, 2017) or multivariate linear regressions (Hassouneh et al, 2012) and document the existence of long-run co-movements or volatility spillovers (Du et al, 2011;Fasanya and Akinbowale, 2019;Ji and Fan, 2012;Serra, 2011;Nazioglu et al, 2013;Mensi et al, 2014;Zhang and Qu, 2015). Studies that are more recent focus on the non-linearity characterising this relationship (Chen et al, 2010;De Nicola et al, 2016;Lucotte, 2016;Natanelov et al, 2011;Pal and Mitra, 2017;Su et al, 2019) and document increased co-movements between energy and agricultural commodity prices, following the recent food crisis and the rise of environmental concerns.…”

Empirical analysis of price relations along the Finnish supply chain of selected meat, dairy, and egg products: A dynamic panel data approach

“…The previous literature examining producer and consumer food price relations uses individual time series methods. Only recently, the study by Rezitis () applied the Bayesian panel VAR model of Canova and Ciccarelli () and Canova et al. () to food markets by analyzing the relationship between crude oil prices, U.S. dollar exchange rates, 30 selected international agricultural prices and five international fertilizer prices in a panel framework.…”