Price volatility in ethanol markets

Teresa Serra, David Zilberman, José Gil

Research output: Contribution to journalArticlepeer-review

Abstract

This research evaluates price volatility transmission in the Brazilian ethanol industry over time and across markets by using a new methodological approach proposed by Seo. The main advantage of Seo's method is that it allows for joint estimation of the co-integration relationship between the price series investigated and the multivariate generalised autoregressive conditional heteroscedasticity process. It thus allows the responses of both food price levels and volatility to unanticipated shocks to be considered together. Results suggest a strong link between food and energy markets, both in terms of price levels and volatility.

Original languageEnglish (US)
Pages (from-to)259-280
Number of pages22
JournalEuropean Review of Agricultural Economics
Volume38
Issue number2
DOIs
StatePublished - Jun 2011

Keywords

  • Brazil
  • MGARCH
  • co-integration
  • ethanol
  • sugar
  • volatility

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics

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