A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil prices from Datastream for the period 19 July 2006 to 2 July 2015. The analysis, featuring Engle-Granger pairwise cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which vary according to whether they are in low or high volatility regimes.

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Year of publication:	2016
Authors:	Allen, David E. ; Chang, Chia-Lin ; McAleer, Michael ; Singh, Abhay K.
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Bio-fuels \| time series \| cointegration \| Markov-switching \| VECM \| Impulse Responses \| Volatility

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Series:	Tinbergen Institute Discussion Paper ; 16-038/III
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	860374459 [GVK] hdl:10419/145345 [Handle] RePEc:tin:wpaper:20160038 [RePEc]
Classification:	C22 - Time-Series Models ; q02 ; q35 ; Q42 - Alternative Energy Sources
Source:	EconStor

Persistent link: https://www.econbiz.de/10011526115