On the Nonlinear Impact of Oil Price Shocks on the World Food Prices Under Different Markets Conditions

IF 0.9 Q3 ECONOMICS

INTERNATIONAL ECONOMIC JOURNAL Pub Date : 2021-01-02 DOI:10.1080/10168737.2020.1870524

Manel Youssef, Khaled Mokni

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引用次数: 4

Abstract

This paper investigates the impact of oil price shocks on the world food prices. We use the structural VAR model to disentangle oil price shocks into supply, aggregate demand, and oil-specific demand-driven shocks. Moreover, we employ a new approach based on the Markov regime-switching quantile regression (MRS-QR) model to investigate the response of food prices to different oil price shocks. Based on monthly data from 1992 to 2018, results show that the reaction of food prices to different structural oil shocks depends on the oil price regimes and varies in significance, sign, and size throughout the food market conditions. Besides, the increases in regression coefficients and smoothed probability during food and oil crisis periods confirm the existence of contagion effects between oil and food markets. Moreover, we find that the supply and aggregate demand shocks do not show a strong contribution to the presence of this phenomenon. Conversely, oil-specific demand shocks represent the main factor that contributes to contagion between oil and food markets.

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不同市场条件下石油价格冲击对世界粮食价格的非线性影响

本文研究了石油价格冲击对世界粮食价格的影响。我们使用结构性VAR模型将油价冲击分解为供给、总需求和石油特定需求驱动的冲击。此外，我们采用了一种基于马尔可夫状态切换分位数回归(MRS-QR)模型的新方法来研究食品价格对不同油价冲击的响应。基于1992 - 2018年的月度数据，研究结果表明，食品价格对不同结构性石油冲击的反应取决于石油价格机制，并且在整个食品市场条件下的显著性、标志和规模都有所不同。此外，粮食和石油危机时期回归系数和平滑概率的增加证实了石油和粮食市场之间存在传染效应。此外，我们发现供给和总需求冲击对这一现象的存在没有很强的贡献。相反，特定于石油的需求冲击是导致石油和粮食市场之间传染的主要因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

INTERNATIONAL ECONOMIC JOURNAL Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

2.10

自引率

0.00%

发文量

期刊介绍： International Economic Journal is a peer-reviewed, scholarly journal devoted to publishing high-quality papers and sharing original economics research worldwide. We invite theoretical and empirical papers in the broadly-defined development and international economics areas. Papers in other sub-disciplines of economics (e.g., labor, public, money, macro, industrial organizations, health, environment and history) are also welcome if they contain international or cross-national dimensions in their scope and/or implications.