IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Biofuel-related price volatility literature: a review and new approaches

  • Serra, Teresa
Registered author(s):

    In this article, a review of the price transmission literature addressing volatility interactions between biofuel and food and fossil fuel markets is presented. The data used, the modeling techniques and the main findings of this literature are discussed. Future extensions of this flourishing research area are proposed and late developments introduced.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://purl.umn.edu/126057
    Download Restriction: no

    Paper provided by International Association of Agricultural Economists in its series 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil with number 126057.

    as
    in new window

    Length:
    Date of creation: 2012
    Date of revision:
    Handle: RePEc:ags:iaae12:126057
    Contact details of provider: Web page: http://www.iaae-agecon.org/
    Email:


    More information through EDIRC

    References listed on IDEAS
    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.:

    as in new window
    1. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49276, Agricultural and Applied Economics Association.
    2. Moschini, GianCarlo & Myers, Robert J., 2002. "Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate Garch Approach," Staff General Research Papers 1945, Iowa State University, Department of Economics.
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. Vedenov, Dmitry V. & Duffield, James A. & Wetzstein, Michael E., 2006. "Entry of Alternative Fuels in a Volatile U.S. Gasoline Market," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(01), April.
    5. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus.
    6. Busse, Stefan & Brummer, Bernhard & Ihle, Rico, 2010. "Investigating Rapeseed Price Volatilities In The Course Of The Food Crisis," 50st Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93957, German Association of Agricultural Economists (GEWISOLA).
    7. Balcombe, Kelvin, 2009. "The Nature and Determinants of Volatility in Agricultural Prices," MPRA Paper 24819, University Library of Munich, Germany.
    8. Peter Ferderer, J., 1996. "Oil price volatility and the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 18(1), pages 1-26.
    9. Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
    10. Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 62(02), August.
    11. Cooke, Bryce & Robles, Miguel, 2009. "Recent food prices movements: A time series analysis," IFPRI discussion papers 942, International Food Policy Research Institute (IFPRI).
    12. Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
    13. Kretschmer, Bettina & Peterson, Sonja, 2010. "Integrating bioenergy into computable general equilibrium models -- A survey," Energy Economics, Elsevier, vol. 32(3), pages 673-686, May.
    14. Rajagopal, Deepak & Zilberman, David, 2007. "Review of environmental, economic and policy aspects of biofuels," Policy Research Working Paper Series 4341, The World Bank.
    15. Zibin Zhang & Luanne Lohr & Cesar L. Escalante & Michael E. Wetzstein, 2008. "Mitigating Volatile U.S. Gasoline Prices and Internalizing External Costs: A Win-Win Fuel Portfolio," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(5), pages 1218-1225.
    16. Whistance, Jarrett & Thompson, Wyatt, 2010. "How does increased corn-ethanol production affect US natural gas prices?," Energy Policy, Elsevier, vol. 38(5), pages 2315-2325, May.
    17. Zibin Zhang & Luanne Lohr & Cesar Escalante & Michael Wetzstein, 2009. "Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market," Energies, MDPI, Open Access Journal, vol. 2(2), pages 320-339, June.
    18. Scarlat, Nicolae & Dallemand, Jean-François, 2011. "Recent developments of biofuels/bioenergy sustainability certification: A global overview," Energy Policy, Elsevier, vol. 39(3), pages 1630-1646, March.
    19. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
    20. Brian D. Wright, 2011. "The Economics of Grain Price Volatility," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 32-58.
    21. Serra, Teresa & Zilberman, David, 2009. "Price volatility in ethanol markets," 2009 Conference, August 16-22, 2009, Beijing, China 49940, International Association of Agricultural Economists.
    22. Chang, Ting-Huan & Su, Hsin-Mei & Chiu, Chien-Liang, 2011. "Value-at-risk estimation with the optimal dynamic biofuel portfolio," Energy Economics, Elsevier, vol. 33(2), pages 264-272, March.
    23. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    24. Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115997, European Association of Agricultural Economists.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ags:iaae12:126057. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.