Price volatility in ethanol markets

Teresa Serra; David Zilberman; José Gil

doi:10.1093/erae/jbq046

Price volatility in ethanol markets

Teresa Serra, David Zilberman, José Gil

Research output: Contribution to journal › Article › peer-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 language	English (US)
Pages (from-to)	259-280
Number of pages	22
Journal	European Review of Agricultural Economics
Volume	38
Issue number	2
DOIs	https://doi.org/10.1093/erae/jbq046
State	Published - Jun 2011
Externally published	Yes

Keywords

Brazil
MGARCH
co-integration
ethanol
sugar
volatility

ASJC Scopus subject areas

Agricultural and Biological Sciences (miscellaneous)
Economics and Econometrics

Online availability

10.1093/erae/jbq046

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title = "Price volatility in ethanol markets",

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.",

keywords = "Brazil, MGARCH, co-integration, ethanol, sugar, volatility",

author = "Teresa Serra and David Zilberman and Jos{\'e} Gil",

note = "Funding Information: The authors gratefully acknowledge financial support from Instituto Nacional de Investigaciones Agr{\'i}colas (INIA) and the European Regional Development Fund (ERDF), Plan Nacional de Investigaci{\'o}n Cient{\'i}fica, Desarrollo e Innovaci{\'o}n Tecnol{\'o}gica (I+D+i), Project Reference Number RTA2009-00013-00-00. Research support from the Energy Biosciences Institute is also acknowledged.",

year = "2011",

month = jun,

doi = "10.1093/erae/jbq046",

language = "English (US)",

volume = "38",

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AU - Serra, Teresa

AU - Zilberman, David

AU - Gil, José

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PY - 2011/6

Y1 - 2011/6

N2 - 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.

AB - 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.

KW - Brazil

KW - MGARCH

KW - co-integration

KW - ethanol

KW - sugar

KW - volatility

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ER -

Price volatility in ethanol markets

Abstract

Keywords

ASJC Scopus subject areas

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