Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach
Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach
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DOI：
10.1016/j.eneco.2022.106422
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发表时间：
2022-11
期刊：
影响因子：
12.8
通讯作者：
Jin Guo;Tetsuji Tanaka
中科院分区：
文献类型：
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作者：
Jin Guo;Tetsuji Tanaka
由于2007-2008年全球商品价格上涨，许多非洲国家经历了社会混乱和随后的政治不稳定，这重申了生物燃料生产、国际粮食和能源价格以及金融投机等海外因素的重要性。尤其是生物燃料，经常被放在围绕确定食品价格上涨的潜在决定因素的辩论的中心。我们应用时变参数向量自回归(TVP-VAR)扩展的联合连接性方法来揭示非洲食品价格、美国生物燃料生产、全球能源和食品价格以及金融投机的动态连接性。主要结论是：1)平均关联度的结果表明，美国的生物燃料生产和对农产品的金融投机显著影响了非洲食品价格；2)非洲食品价格与四个跨境因素之间的动态关联度大幅飙升是由2000年互联网泡沫、2008年全球大宗商品繁荣和2020年新冠肺炎大流行等全球事件引发的；3)套利交易在2001年至2012年期间对非洲食品价格产生了强烈冲击，而生物燃料生产在2001年至2021年期间不断影响非洲食品价格。我们得出了务实的政策含义，以防止或减轻市场冲击对非洲粮食市场的传导。
Many African countries experienced social disorder and subsequent political instability as a result of global commodity price inflation in 2007–2008, which reaffirmed the importance of overseas factors such as biofuel production, international food and energy prices, and financial speculation. Biofuel, in particular, is often placed at the center of the debate around identifying potential determinants of food price hikes. We apply a time-varying parameter vector autoregressive (TVP-VAR) extended joint connectedness approach to uncover the dynamic connectivity of African food prices, US biofuel production, global energy and food prices, and financial speculation. The key findings are; 1) the results of averaged connectedness suggest that US biofuel production and financial speculation in agricultural commodities significantly influence African food prices; 2) the hefty surges in the dynamic connectedness between African food prices and four cross-border factors are triggered by global events like the 2000 dot-com bubble, the 2008 global commodity boom, and the 2020 COVID-19 pandemic; 3) arbitrage transactions transmitted intense shocks to African food prices between 2001 and 2012, while biofuel production constantly affected African food prices between 2001 and 2021. We draw pragmatic policy implications to prevent or mitigate market shock transmissions to African food markets.