Price volatility in ethanol markets
AbstractThis 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. Oxford University Press and Foundation for the European Review of Agricultural Economics 2010; all rights reserved. For permissions, please email email@example.com, Oxford University Press.
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Bibliographic InfoArticle provided by Foundation for the European Review of Agricultural Economics in its journal European Review of Agricultural Economics.
Volume (Year): 38 (2011)
Issue (Month): 2 (June)
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Other versions of this item:
- Serra, Teresa & Zilberman, David, 2009. "Price volatility in ethanol markets," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49188, Agricultural and Applied Economics Association.
- Serra, Teresa & Zilberman, David, 2009. "Price volatility in ethanol markets," 2009 Conference, August 16-22, 2009, Beijing, China 49940, International Association of Agricultural Economists.
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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