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.

中文翻译：

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全球金融危机前后的能源和农作物价格周期：一种新方法

使用新开发的 Hamilton 过滤器，我们分解了三种主要能源（原油、煤炭和天然气）和五种重要农作物（玉米、棕榈油、大米、大豆和小麦）的价格，以分离出它们的周期性成分。然后，我们应用时差分析来研究它们的共同运动。分析 1990-2009 年和 2010-2020 年两个时期的 15 个能源价格-农作物价格对，我们发现煤炭和农作物价格之间的相关性在 2010 年代显着减弱，而原油和天然气价格与农作物价格的相关性已经减弱。加强。直到 2009 年，原油和天然气价格领先于农作物价格，而在 2010 年代，它们落后于农作物价格。我们得出的结论是，全球金融危机标志着能源与农作物价格之间关系的关键转变。结果强调了检查特定作物和能源价格之间的关联而不是综合指数的重要性；此外，使用原油作为能源价格的代表是不合适的——假设一种能源在不同作物上占优势的汇总方法可能会产生不正确的结果。