The interactions between agricultural commodity and oil prices: an empirical analysis A., Karacaer Ulusoy M. (2015): The interactions between agricultural commodity and oil prices: an empirical analysis. Agric. Econ. – Czech, 61: 410-421.
download PDF
The purpose of the study is to analyse the short and long-term relationships between the world oil prices (Europe Brent Spot Price and West Texas Intermediate Spot Price) and the agricultural commodity prices (Wheat, Corn and Soybeans). The analysis is based upon the data set covering the monthly period of 1990.01–2014.05. According to the Johansen co-integration tests results, there are no long-run relationships between each agricultural commodity prices and world oil prices at the 5% significance level. On the other hand, according to the results of the Granger causality tests, there are uni-directional causality relationships from the Europe Brent and West Texas Intermediate oil prices to Wheat at the 1% and 5% significance level respectively, to Corn at the 1% and 1% significance level respectively and to Soybeans at the 1% and 5% significance level respectively. No causality relationship from the agricultural commodity prices to world the oil prices has been observed.
Abbott P.C., Hurt C., Tyner W.E. (2009): What’s driving food prices? March 2009 update. Farm Foundation Issue Report, March 2009.
Adämmer Philipp, Bohl Martin T. (2015): Speculative bubbles in agricultural prices. The Quarterly Review of Economics and Finance, 55, 67-76
Baffes J. (2007): Oil spills on other commodities. Policy Research Working Paper No. 4333, World Bank.
Baffes John (2013): A framework for analyzing the interplay among food, fuels, and biofuels. Global Food Security, 2, 110-116
Basar S., Temurlenk M.S. (2007): Çevreye uyarlanmış Kuznets eğrisi: Türkiye üzerine bir uygulama. (Environmentally adapted Kuznets curve: Evidence from Turkey.) Ataturk Universitesi İktisadi ve İdari Bilimler Fakultesi Dergisi, 21: 1–12.
Campiche J.L., Bryant H.L., Richardson J.W., Outlaw J.L. (2007): Examining the evolving correspondence between petroleum prices and agricultural commodity prices. In: American Agricultural Economics Association Annual Meeting, July 29–August 1, 2007, Portland..
Chen Y., Rogoff K., Rossi B. (2008): Can exchange rates forecast commodity prices? Economic Research Initiatives at Duke (ERID) Working Paper, No. 94.
Chen Sheng-Tung, Kuo Hsiao-I, Chen Chi-Chung (2010): Modeling the relationship between the oil price and global food prices. Applied Energy, 87, 2517-2525
Chimobi O.P., Igwe O.L. (2010): Budget deficit, money supply and inflation in Nigeria, European Journal of Economics, 19: 1450–2887.
Dickey D.A., Fuller W.A. (1979): Distribution of the estimators for autoregressive time series with a unit root. Journal of American Statistical Society, 75: 427–431.
Du Xiaodong, Yu Cindy L., Hayes Dermot J. (2011): Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis. Energy Economics, 33, 497-503
Enders W. (1995): Applied Econometric Time Series. Wiley, New York.
Fang C.R., Lee W.C., Chang C.F. (2014): The co-movement between oil and agricultural commodity prices: Evidence from the emerging market of China. Issues & Studies, 50: 111–141.
Frank J., Garcia P. (2010): How strong are the linkages among agricultural, oil, and exchange rate markets? In: Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, St. Louis, MO.
Gilbert Christopher L. (2010): How to Understand High Food Prices. Journal of Agricultural Economics, 61, 398-425
Granger C. W. J. (1969): Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37, 424-
Gozgor G., Kablamaci B. (2014): The linkage between oil and agricultural commodity prices in the light of the perceived global risk. Agricultural Economics, 60: 332–342.
Hanson K., Robinson S., Schluter G. (1993): Sectorial effects of a world oil price shock: Economy wide linkages to the agricultural sector. Journal of Agricultural and Resource Economics, 18: 96–116.
Hamilton J.D. (2008): Understanding crude oil prices. NBER Working Paper Series No. 14492. Available at
Harri A., Nalley L., Hudson D. (2009): The relationship between oil, exchange rates, and commodity prices. Journal of Agricultural and Applied Economics, 41: 501–510.
Johansen Søren (1988): Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254
Johansen Søren, Juselius Katarina (1990): MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY. Oxford Bulletin of Economics and Statistics, 52, 169-210
Johansen Soren (1991): Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551-
Kaltalioglu Muge, Soytas Ugur (2011): Volatility Spillover from Oil to Food and Agricultural Raw Material Markets. Modern Economy, 02, 71-76
Kilian Lutz (2008): The Economic Effects of Energy Price Shocks. Journal of Economic Literature, 46, 871-909
Kwiatkowski Denis, Phillips Peter C.B., Schmidt Peter, Shin Yongcheol (1992): Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178
Kwon D., Koo W.W. (2009): Price transmission channels of energy and exchange rate on food sector: A disaggregated approach based on stage of process. In: Agricultural & Applied Economics Association 2009 AAEA & ACCI Joint Annual Meeting, Milwaukee, Wisconsin, July 26–29, 2009.
MacKinnon James G. (1996): Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11, 601-618<601::AID-JAE417>3.0.CO;2-T
MacKinnon James G., Haug Alfred A., Michelis Leo (1999): Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14, 563-577<563::AID-JAE530>3.0.CO;2-R
Mitchell D. (2008): A note on Rising Food Prices, Policy Research Working Paper Series, No. 4682, World Bank.
Mutuc M., Pan S., Hudson D. (2010): What drives commodity prices more: Oil Demand or Supply Shocks? In: Agricultural & Applied Economics Association 2010 AAEA, CAES, & W Joint Annual Meeting, Denver, Colorado, July 25–27, 2010.
Nazlioglu Saban (2011): World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy Policy, 39, 2935-2943
Nazlioglu Saban, Soytas Ugur (2011): World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33, 488-496
Nazlioglu S., Soytas S. (2012): Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis, 34: 1098–1104.
Nazlioglu S., Erdem C., Soytas S. (2013): Volatility spillover between oil and agricultural commodity markets, Energy Economics, 36: 658–665.
PHILLIPS PETER C. B., PERRON PIERRE (1988): Testing for a unit root in time series regression. Biometrika, 75, 335-346
Reboredo J.C. (2012): Do food and oil prices co-move? Energy Policy, 49: 456–467.
Rosa F., Vasciaveo M. (2012): Agri-commodity price dynamics: The relationship between oil and agricultural market, In: International association of Agricultural Economists (IAAE) Triennial Conference, Foz do Iguaçu, Brazil, August 18–24, 2012.
Saghaian S.H. (2010): The impact of the oil sector on commodity prices: Correlation or causation? Journal of Agricultural and Applied Economics, 42: 477–485.
Sevuktekin M., Nargelecekenler M. (2005): Zaman serisi analizi. (Time Series Analysis.) Nobel Yayin Dagitim, İzmir.
Vasciaveo M. (2013): Market efficiency and price transmission: The case of Italian and US agricultural prices. [Doctoral Thesis.] Università degli Studi di Udine.
Wang Yudong, Wu Chongfeng, Yang Li (2014): Oil price shocks and agricultural commodity prices. Energy Economics, 44, 22-35
Yu T.E., Bessler D.A., Fuller S. (2006): Cointegration and causality analysis of world vegetable oil and crude oil prices. In: American Agricultural Economics Association Annual Meeting, Long Beach, California, July 23–26, 2006.
Zhang Q., Reed M. (2008): Examining the impact of the world crude oil price on China’s agricultural commodity prices: The case of corn, soybean, and pork. In: Southern Agricultural Economics Association Annual Meetings, Dallas, TX, February 2–5, 2008.
Zhang Z., Lohr L., Escalante C., Wetzstein M. (2010): Food versus fuel: What do prices tell us? Energy Policy, 38: 445–451.
Zhang Chuanguo, Chen Xiaoqing (2014): The impact of global oil price shocks on China’s bulk commodity markets and fundamental industries. Energy Policy, 66, 32-41
IMF Primary Commodity Price System). Available at
download PDF

© 2020 Czech Academy of Agricultural Sciences