Comovements of ethanol‐related prices: evidence from Brazil and the <scp>USA</scp>

Krištoufek, Ladislav; Janda, Karel; Zilberman, David

doi:10.1111/gcbb.12260

Cited by 58 publications

(36 citation statements)

References 62 publications

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“…It is thus essential for investors and policymakers to gain deeper understanding about the role of corn and oil market uncertainty in the jump dynamics of the US ethanol market returns for making better investment and hedging decisions. This paper thus makes a novel extension to earlier studies such as Zhang et al (2010), , Serra, Zilberman, Gil, and Goodwin (2011), Trujillo-Barrera et al (2012), Kristoufek et al (2012Kristoufek et al ( , 2016, among others. Finally, unlike the previous studies, we consider the jump behavior in the US ethanol market returns via GARCH-jump models (Chan & Maheu, 2002) when uncovering any evidence of asymmetric impacts on the ethanol market returns by separating the corn price shocks into positive and negative components.…”

Section: Introductionmentioning

confidence: 53%

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Does corn market uncertainty impact the US ethanol prices?

et al. 2018

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The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time-varying jumps do exist in the ethanol market.

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Section: Introductionmentioning

confidence: 53%

“…(), Kristoufek et al. (, ), among others. Finally, unlike the previous studies, we consider the jump behavior in the US ethanol market returns via GARCH‐jump models (Chan & Maheu, ) when uncovering any evidence of asymmetric impacts on the ethanol market returns by separating the corn price shocks into positive and negative components.…”

Section: Introductionmentioning

confidence: 97%

Does corn market uncertainty impact the US ethanol prices?

et al. 2018

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“…All these studies find that an upsurge in sugar price levels causes ethanol prices to increase and not vice versa. In other words, sugar prices lead the ethanol prices – not the other way around . A recent study further shows that the impact of sugar prices on ethanol prices appears to be asymmetric .…”

Section: Introductionmentioning

confidence: 99%

“…Given that sugarcane is the main feedstock for generating biofuel in Brazil, a strand of literature has explored how and to what extent the ethanol market is affected by the changes in its feedstock prices . All these studies find that an upsurge in sugar price levels causes ethanol prices to increase and not vice versa.…”

Section: Introductionmentioning

confidence: 99%

Carbon emission and ethanol markets: evidence from Brazil

Dutta

Bouri

2018

Biofuels Bioprod Bioref

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The production of ethanol has increased globally over the last decade. It is mainly produced from corn and sugarcane, so earlier studies mainly investigated the impact of food prices on ethanol prices. Although biofuels have been brought into the energy markets to reduce the volume of carbon emissions, the links between ethanol and carbon emission markets have not been explored sufficiently in the existing literature. This study aimed to extend the literature in this field by using a GARCH‐jump process to examine whether Brazilian ethanol prices are affected by carbon emission prices. Our key findings are threefold. First, carbon emission prices affect Brazilian ethanol prices positively. Rising emission prices would therefore cause an increase in the ethanol price. Second, time‐varying jumps occur in the ethanol price index. Third, the impact of emission prices on the ethanol market is asymmetric, implying that increases and decreases in emission prices would have heterogeneous effects on ethanol price levels. Our findings have important implications for scholars, investors, and policymakers. © 2018 Society of Chemical Industry and John Wiley & Sons, Ltd

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“…Our work extends earlier studies that investigated the corn‐ethanol nexus by modeling and forecasting US ethanol market volatility with the help of the CIV index. As far as we are aware, we are the first to examine whether the information content of the CIV index is convenient for predicting the realized volatility of the US ethanol market.…”

Section: Introductionmentioning

confidence: 99%

Forecasting ethanol market volatility: new evidence from the corn implied volatility index

Dutta

2018

Biofuels Bioprod Bioref

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Global ethanol production has expanded significantly in recent years as a result of a sharp rise in the worldwide crude oil price. Currently, the USA is the leading producer and exporter of ethanol fuel globally and hence fluctuations in ethanol price could play a vital role in influencing the country's overall bioenergy policy. It is hence important to model and forecast the US ethanol price precisely to minimize the market risk. Surprisingly, this issue has not received considerable attention in the biofuel and bioenergy literature. To rectify this situation, the present study aims to model and predict US ethanol market volatility using the recently published corn price implied volatility (CIV) index. Employing a set of generalized autoregressive conditional heteroskedasticity (GARCH) volatility approaches, we show that the information content of CIV index is a significant factor in explaining the variation in the ethanol price. The inclusion of the CIV index also generally improves the volatility forecasts of the US ethanol price index. © 2018 Society of Chemical Industry and John Wiley & Sons, Ltd

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Comovements of ethanol‐related prices: evidence from Brazil and the USA

Cited by 58 publications

References 62 publications

Does corn market uncertainty impact the US ethanol prices?

Does corn market uncertainty impact the US ethanol prices?

Carbon emission and ethanol markets: evidence from Brazil

Forecasting ethanol market volatility: new evidence from the corn implied volatility index

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