Does corn market uncertainty impact the US ethanol prices?

被引：17

作者：

Dutta, Anupam ^{[1
]}

Bouri, Elie ^{[2
]}

Junttila, Juha ^{[3
]}

Uddin, Gazi Salah ^{[4
]}

机构：

[1] Univ Vaasa, Sch Accounting & Finance, Vaasa, Finland

[2] Holy Spirit Univ Kaslik, USEK Business Sch, Jounieh, Lebanon

[3] Univ Jyvaskyla, Sch Business & Econ, Jyvaskyla, Finland

[4] Linkoping Univ, Dept Management & Engn, Linkoping, Sweden

来源：

GLOBAL CHANGE BIOLOGY BIOENERGY | 2018年 / 10卷 / 09期

关键词：

asymmetry; corn price uncertainty; GARCH-jump model; oil price volatility; US ethanol market; volatility shocks; CRUDE-OIL; NONLINEAR CAUSALITY; STOCK MARKETS; JUMP DYNAMICS; VOLATILITY; BIOFUELS; COINTEGRATION; COMMODITIES; SHOCKS;

D O I：

10.1111/gcbb.12527

中图分类号：

S3 [农学（农艺学）];

学科分类号：

0901 ;

摘要：

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.

引用

页码：683 / 693

页数：11

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