Co-movements between crude oil and food prices: A post-commodity boom perspective

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. •This study provides further empirical evidence on the oil–food price nexus.•Bivariate VAR models are used to assess the co-movements between crude oil and food prices.•The pre- and the post-commodity-boom periods are distinguished.•Strong positive co-movements are observed in the aftermath of the commodity boom.