Nonlinearities in the US corn-ethanol-oil price system
No hay miniatura disponible
Fecha
Título de la revista
ISSN de la revista
Título del volumen
Editor
Resumen
Descripción
We use a smooth transition vector error correction model to assess price relationships within the US ethanol
industry. Daily ethanol, corn and oil futures prices observed from mid-2005 to mid-2007 are used in the analysis. Results indicate the existence of an equilibrium relationship between ethanol, corn and oil prices.
However, only ethanol prices adjust, in a non-linear fashion, to deviations from this long-run parity.
Generalized impulse response functions indicate that a shock to both oil and corn prices causes a change in ethanol prices of the same sign. Ethanol responses usually reach a peak after about 10 days of the initial shock and fade away within 35 days.