文章基本信息

标题：What Drives Commodity Prices More: Oil Demand or Supply Shocks?
本地全文：下载
作者：Mutuc, Maria Erlinda M. ; Pan, Suwen ; Hudson, Darren 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2010
卷号：SUPPL
出版社：Food Distribution Research Society
摘要：This paper shows that the response of agricultural commodity prices in the U.S. related to fluctuations in oil prices in the international market may differ greatly depending on whether the increase is driven by demand or supply shocks in the crude oil market. In the long-run, around 2-7 percent of the variability in grains, oilseeds, and cotton prices can be attributed to shocks to aggregate demand for industrial commodities while none can be traced to oil supply shocks. This paper improves on the lack of economic structure in VAR models employed so far, and on the issue of short datasets, contributes to the nascent empirical evidence, and identifies the transmission of different types of oil price shocks to movements in agricultural prices in a SVAR framework using monthly data from 1976 to 2008.
关键词：cotton;wheat;corn;soybeans;crude oil;oil price shocks;demand shocks;supply shocks;structural vector autoregression (SVAR)