Abstract
Using the correlations of VAR forecast errors at different horizons, this paper analyzes the dynamics of co-movements between crude oil and food prices. For each food price considered, a bivariate VAR model is estimated on two subsample periods: a pre-commodity-boom (1990M1–2006M12) and a post-boom period (2007M1–2015M5). Our results reveal strong positive co-movements between crude oil and food prices in the aftermath of the commodity boom, while no statistically significant co-movements are observed over the pre-boom period. Hence, our findings provide further empirical evidence on the actual linkages between the crude oil and agricultural markets.
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