Pass-through relationship between oil and other commodities

What is it about?

There are very few studies on the asymmetric relationship between crude oil prices and the prices of other commodities. Using the recently developed multivariate hidden cointegration technique, the results indicate that there exists a long‐run and asymmetric relationship between crude oil prices and the price of other commodities.

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Why is it important?

The policy implication of our results is that crude oil as a strategic resource plays an important role in commodity markets and regardless of whether the commodity market is in a boom period or a downturn, the volatility of crude oil prices always affects other commodity prices.