On the link between oil and commodity prices: A panel VAR approach

  • Vincent Brémond EconomiX Cnrs, University of Paris Ouest, France
  • Emmanuel Hache IFP Energies Nouvelles, 1 et 4 avenue de Bois Préau, 92852 Rueil Malmaison, France.
  • Marc Joëts Ipag Business School and EconomiX Cnrs, University of Paris Ouest
Keywords: Oil prices, commodities, panel VAR, impulse response, cointegration, causality.,

Abstract

The aim of this paper is to study the relations between the price of oil and a large dataset of commodity prices, relying on panel data settings. Using second generation panel cointegration tests, our findings show that the WTI and commodity prices are not linked in the long term. Nevertheless, considering our results in causality tests, we show that short-run relations exist, mainly from the price of crude oil to commodity prices. We thus implement a panel VAR estimation with an impulse response function analysis. Two main conclusions emerge: (i) fast co-movements are highlighted, while (ii) market efficiency is emphasised.

Published
2014-06-12
Section
Articles