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Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices

  • Campiche, Jody L.
  • Bryant, Henry L.
  • Richardson, James W.
  • Outlaw, Joe L.

Over the last few years, the production of renewable fuels has increased dramatically. Rising oil prices, limited supplies of fossil fuel, and increased concerns about global warming have created a growing demand for renewable energy sources. Both the ethanol and biodiesel industries have experienced tremendous growth in the past few years. The production of these fuels is highly dependent on the availability of agricultural feedstocks. This research examined the covariability between crude oil prices and corn, sorghum, sugar, soybeans, soybean oil, and palm oil prices during the 2003-2007 time period. Johansen cointegration tests revealed no cointegrating relationships during the 2003-2005 time frame. However, corn prices and soybean prices were cointegrated with crude oil prices during the 2006-2007 time period.

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File URL: http://purl.umn.edu/9881
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN with number 9881.

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Date of creation: 2007
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Handle: RePEc:ags:aaea07:9881
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  1. In, Francis & Inder, Brett, 1997. "Long‐run Relationships Between World Vegetable Oil Prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(4), December.
  2. A. D. Owen & K. Chowdhury & J. R. R. Garrido, 1997. "Price interrelationships in the vegetable and tropical oils market," Applied Economics, Taylor & Francis Journals, vol. 29(1), pages 119-124.
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  4. Yu, Tun-Hsiang (Edward) & Bessler, David A. & Fuller, Stephen W., 2006. "Cointegration and Causality Analysis of World Vegetable Oil and Crude Oil Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21439, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  6. P. J. Dawson & B. White, 2002. "Interdependencies between agricultural commodity futures prices on the LIFFE," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(3), pages 269-280, 03.
  7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  8. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
  9. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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