Price Asymmetric Relationships in Commodity and Energy Markets
Recent increases in the price of crude oil have led to a rise in the prominence of corn-based ethanol as an alternative source of energy. As a result linkages have been established between commodity and energy prices. The aim of this study is to determine if soybeans, corn, wheat, oil, and ethanol adjust their prices asymmetrically depending on whether their actual price is over or under-predicted with respect to one another. This study’s goal of determining if asymmetric price relationships exist is accomplished by using monthly time series price data incorporated into a distributed lag error correction model distinguishing between positive and negative price difference and positive and negative values of the error correction terms. The primary results of this study found that asymmetric price changes do occur in the commodity and energy markets. Interestingly, in all the asymmetric price adjustments that were found, with only one exception in the soybean-corn relationship, prices will adjust downward when the actual price of one variable is above its equilibrium price as determined by the price of another study variable and consequently would be expected to exhibit a downward adjustment in price in the following month.
|Date of creation:||23 Feb 2012|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.eaae.org|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- C. John McDermott & Paul Cashin & Alasdair Scott, 1999.
"Booms and Slumps in World Commodity Prices,"
IMF Working Papers
99/155, International Monetary Fund.
- Paul Cashin & C John McDermott & Alasdair Scott, 1999. "Booms and slumps in world commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/8, Reserve Bank of New Zealand.
- Wallace E. Tyner, 2010. "The integration of energy and agricultural markets," Agricultural Economics, International Association of Agricultural Economists, vol. 41(s1), pages 193-201, November.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010.
"Asymmetric Adjustments in the Ethanol and Grains Markets,"
KIER Working Papers
752, Kyoto University, Institute of Economic Research.
- Chang, Chia-Lin & Chen, Li-Hsueh & Hammoudeh, Shawkat & McAleer, Michael, 2012. "Asymmetric adjustments in the ethanol and grains markets," Energy Economics, Elsevier, vol. 34(6), pages 1990-2002.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2012. "Asymmetric Adjustments in the Ethanol and Grains Markets," Documentos de Trabajo del ICAE 2012-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Chang, C-L. & Chen, L.H. & Hammoudeh, S.M. & McAleer, M.J., 2011. "Asymmetric Adjustment in the Ethanol and Grains Markets," Econometric Institute Research Papers EI 2010-78, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Li-Hsueh Chen & Shawkat Hammoudeh & Michael McAleer, 2010. "Asymmetric Adjustments in the Ethanol and Grains Markets," Working Papers in Economics 10/78, University of Canterbury, Department of Economics and Finance.
- Hertel, Thomas & Beckman, Jayson, 2010.
"Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets,"
GTAP Working Papers
3214, Center for Global Trade Analysis, Department of Agricultural Economics, Purdue University.
- Thomas W. Hertel & Jayson Beckman, 2011. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets," NBER Chapters, in: The Intended and Unintended Effects of U.S. Agricultural and Biotechnology Policies, pages 189-221 National Bureau of Economic Research, Inc.
- Hertel, Thomas W. & Beckman, Jayson F., 2010. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage between Energy and Agricultural Markets," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 60857, Agricultural and Applied Economics Association.
- Thomas W. Hertel & Jayson Beckman, 2011. "Commodity Price Volatility in the Biofuel Era: An Examination of the Linkage Between Energy and Agricultural Markets," NBER Working Papers 16824, National Bureau of Economic Research, Inc.
- Karali, Berna & Thurman, Walter N., 2010. "Components of Grain Futures Price Volatility," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 35(2), August.
- Giliola Frey & Matteo Manera, 2007.
"Econometric Models Of Asymmetric Price Transmission,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 21(2), pages 349-415, 04.
- Matteo Manera & Giliola Frey, 2005. "Econometric Models of Asymmetric Price Transmission," Working Papers 2005.100, Fondazione Eni Enrico Mattei.
- M. Galeotti & A. Lanza & M. Manera, 2001.
"Rockets and feathers revisited: an international comparison on European gasoline markets,"
Working Paper CRENoS
200112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Galeotti, Marzio & Lanza, Alessandro & Manera, Matteo, 2003. "Rockets and feathers revisited: an international comparison on European gasoline markets," Energy Economics, Elsevier, vol. 25(2), pages 175-190, March.
- Jochen Meyer & Stephan Cramon-Taubadel, 2004.
"Asymmetric Price Transmission: A Survey,"
Journal of Agricultural Economics,
Wiley Blackwell, vol. 55(3), pages 581-611.
- Meyer, Jochen & von Cramon-Taubadel, Stephan, 2002. "Asymmetric Price Transmission: A Survey," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24822, European Association of Agricultural Economists.
- von Braun, Joachim & Ahmed, Akhter & Asenso-Okyere, Kwadwo & Fan, Shenggen & Gulati, Ashok & Hoddinott, John & Pandya-Lorch, Rajul & Rosegrant, Mark W. & Ruel, Marie & Torero, Maximo & van Rheenen, Te, 2008. "High food prices: The what, who, and how of proposed policy actions," Policy briefs 1A, International Food Policy Research Institute (IFPRI).
When requesting a correction, please mention this item's handle: RePEc:ags:eaa123:122553. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.