Energy and crop price cycles before and after the global financial crisis: A new approach
使用新开发的Hamilton滤波器分解原油、煤炭、天然气及五种主要作物的价格周期，分析1990-2020年间15对能源-作物价格的相关性变化，发现金融危机后煤炭与作物价格相关性减弱，而原油、天然气与作物价格相关性增强且领先滞后关系逆转。
Abstract Using the newly developed Hamilton filter, we decompose prices of three primary energy sources (crude oil, coal and natural gas) and five significant crops (corn, palm oil, rice, soybean and wheat) to isolate their cyclical components. Then, we apply time‐difference analyses to study their co‐movement. Analysing 15 energy price–crop price pairs over two periods, 1990–2009 and 2010–2020, we find that the correlations between coal and crop prices have weakened significantly during the 2010s, while correlations of crude oil and natural gas prices with crop prices have strengthened. Until 2009, crude oil and natural gas prices led crop prices, whereas during the 2010s they lagged crop prices. We conclude that the global financial crisis marked a pivotal shift in the associations between energy and crop prices. The results underscore the importance of examining the associations between specific crop and energy prices rather than aggregated indices; furthermore, using crude oil as a proxy for energy prices is not suitable—an aggregated approach that presumes the predominance of one energy source apropos different crops may yield incorrect results.