A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 16-038/III

Classification and Topics

• Classification: 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
• Subject: Bio-fuels ; time series ; cointegration ; Markov-switching ; VECM ; Impulse Responses ; Volatility

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Allen, David E. ; Chang, Chia-Lin ; McAleer, Michael ; Singh, Abhay K.
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/145345
• Last update: 10.03.2025, 11:42 AM CET