Does corn market uncertainty impact the US ethanol prices?
| Autor: | Anupam Dutta, Elie Bouri, Juha-Pekka Junttila, Gazi Salah Uddin |
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| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
ta520
maissi Naturgeografi etanoli Natural resource economics 020209 energy oil price volatility 02 engineering and technology öljy volatility shocks hintakehitys volatiliteetti 0202 electrical engineering electronic engineering information engineering Economics biopolttoaineet Waste Management and Disposal ta512 corn price uncertainty health care economics and organizations GARCH–jump model Renewable Energy Sustainability and the Environment Market uncertainty business.industry asymmetry GARCH-jump model US ethanol market food and beverages Forestry biofuels Renewable energy Physical Geography Biofuel asymmetria hinnat business Agronomy and Crop Science |
| Zdroj: | Global Change Biology Bioenergy. 10(9):683-693 |
| ISSN: | 1757-1693 |
| Popis: | The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time-varying jumps do exist in the ethanol market. Funding Agencies|Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse |
| Databáze: | OpenAIRE |
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