Non-linear price transmission between biofuels, fuels and food commodities

Arbeitspapier

For the biofuel markets and related commodities, we study their price transmission, which is in fact equivalent to studying price cross-elasticities. Importantly, we focus on the price dependence of the price transmission mechanism. Several methodological caveats are discussed. Specifically, we combine the memory robust feasible generalized least squares estimation with two-stage least squares to control for endogeneity bias and inconsistency. We find that both ethanol and biodiesel prices are responsive to their production factors (ethanol to corn, and biodiesel to German diesel). The strength of transmission between both significant pairs increased remarkably during the food crisis of 2007/2008.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IES Working Paper ; No. 16/2013

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Agricultural R&D; Agricultural Technology; Biofuels; Agricultural Extension Services ; Alternative Energy Sources
• Subject: biofuels ; price transmission ; non-linearity

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Krištoufek, Ladislav ; Janda, Karel ; Zilberman, David
• Event: Veröffentlichung
• (who): Charles University in Prague, Institute of Economic Studies (IES)
• (where): Prague
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/102569
• Last update: 10.03.2025, 11:43 AM CET