Arbeitspapier
A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring Engle-Granger pairwise cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which vary according to whether they are in low or high volatility regimes.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 16-038/III
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Commodity Markets
Hydrocarbon Resources
Alternative Energy Sources
- Thema
-
Bio-fuels
time series
cointegration
Markov-switching
VECM
Impulse Responses
Volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Allen, David E.
Chang, Chia-Lin
McAleer, Michael
Singh, Abhay K.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft.
Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Allen, David E.
- Chang, Chia-Lin
- McAleer, Michael
- Singh, Abhay K.
- Tinbergen Institute
Entstanden
- 2016
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