Long-run and Short-run Co-movements in Energy Prices and the Prices of Agricultural Feedstocks for Biofuel

被引：62

作者：

Myers, Robert J. ^{[1
]}

Johnson, Stanley R. ^{[2
]}

Helmar, Michael ^{[3
]}

Baumes, Harry ^{[4
]}

机构：

[1] Michigan State Univ, E Lansing, MI 48824 USA

[2] Natl Ctr Food & Agr Policy, Washington, DC USA

[3] Univ Nevada, Reno, NV 89557 USA

[4] USDA, Off Energy Policy & New Uses, Off Chief Economist, Washington, DC USA

来源：

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2014年 / 96卷 / 04期

关键词：

Biofuels; commodity prices; co-movement; energy prices; NUISANCE PARAMETER; TAX CREDIT; COMMON; COINTEGRATION; DECOMPOSITION; PERMANENT; ECONOMICS; INFERENCE; MANDATE; TRENDS;

D O I：

10.1093/ajae/aau003

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

Recent expansions in biofuel production have led to concerns about an emerging "new relationship" between energy prices and the prices of agricultural feedstock for biofuel. We provide new econometric evidence on this relationship using common trend-common cycle decompositions to estimate long-run and short-run co-movement across various energy and agricultural prices. We also test for the presence of regime changes that may alter the relationship between energy and agricultural feedstock prices under certain conditions. We find that co-movements between energy and agricultural feedstock prices tend to dissipate in the long-run, which has important implications for biofuel and food policy.

引用

页码：991 / 1008

页数：18

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