美国生物燃料、玉米和石油市场之间的不对称价格波动传导

IF 1.2 4区经济学 Q3 AGRICULTURAL ECONOMICS & POLICY

Journal of Agricultural and Resource Economics Pub Date : 2018-01-30 DOI:10.2139/SSRN.2906336

S. Saghaian, M. Nemati, C. Walters, Bo Chen

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引用次数: 4

摘要

随着乙醇产量的增加，农产品和能源价格之间的联系变得更加复杂。人们担心的是，玉米与乙醇之间的新联系是否会导致粮食和能源价格之间的波动溢出传递。我们使用bekk -多元garch方法研究了石油、玉米和乙醇价格之间的不对称波动溢出效应。此外，我们使用每日、每周和每月的期货价格来检验使用不同频率的数据是否会导致不一致的结果。研究结果支持玉米和乙醇价格之间存在不对称波动传导。此外，不同频率价格的波动溢出效应不同，正负价格变化产生的结果不一致。

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Asymmetric Price Volatility Transmission between U.S. Biofuel, Corn, and Oil Markets

Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new corn–ethanol links lead to volatilityspillover transmission between food and energy prices. We investigate asymmetric volatility spillovers between oil, corn, and ethanol prices using a BEKK-multivariate-GARCH approach. Additionally, we use daily, weekly, and monthly futures prices to examine whether the use of different-frequency data leads to inconsistent results. The results support the existence of asymmetric volatility transmission between corn and ethanol prices. Furthermore, the volatilityspillover effects are different for the different-frequency prices, and positive and negative price changes generate inconsistent results.

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来源期刊

Journal of Agricultural and Resource Economics 社会科学-农业经济与政策

CiteScore

2.30

自引率

7.10%

发文量

审稿时长

>36 weeks

期刊介绍： The mission of the Journal of Agricultural and Resource Economics is to publish creative and scholarly economic studies in agriculture, natural resources, and related areas. Manuscripts dealing with the economics of food and agriculture, natural resources and the environment, human resources, and rural development issues are especially encouraged. The Journal provides a forum for topics of interest to those performing economic research as well as to those involved with economic policy and education. Submission of comments on articles previously published in the Journal is welcomed.