Modeling the price relationships between crude oil, energy crops and biofuels

Chiu, Fan-Ping; Hsu, Chia-Sheng; Ho, Alan L.; Chen, Chi‐Chung

doi:10.1016/j.energy.2016.05.016

Cited by 57 publications

(40 citation statements)

References 27 publications

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“…Chiu et al. () also indicate that corn prices represent an important factor driving the changes in ethanol prices in the U.S. Our above‐mentioned results have implications for policymakers and point to the existence of a strong link from an agricultural commodity, in our case corn, to the US biofuel markets.…”

Section: Resultssupporting

confidence: 64%

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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: Resultssupporting

confidence: 64%

“…Chiu et al. () also find that the crude oil price has an influence on the price of ethanol as bioethanol is considered to be an alternative fuel used to overcome the pressures to higher oil prices.…”

Section: Resultsmentioning

confidence: 99%

Does corn market uncertainty impact the US ethanol prices?

et al. 2018

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“…Such significant growth in the biofuel usage could be due to concerns about energy security, climate change, and rising oil prices. Earlier studies also claimed that biofuels have been brought into the energy markets as substitutes for fossil fuels to mitigate the volume of carbon emissions and minimize the adverse impact of oil‐price uncertainty. Growing prices of crude oil also increase the economic motivation for the production of biofuels .…”

Section: Introductionsupporting

confidence: 74%

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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“…Surprisingly, the association between carbon emissions and Brazilian ethanol markets has been extremely lacking in research, even though it is widely believed that biofuels have received significant attention due to concerns about climate change. Previous studies have also identified the release of CO 2 as one of the most important factors behind the significant growth of ethanol and other biofuels, which are less carbon‐intensive than conventional energy sources . Some researchers have also examined the effectiveness of using carbon‐trading schemes in promoting low‐carbon fuel‐production technologies for the transportation sector and have provided evidence supporting such effectiveness, suggesting that emissions trading represents a solution for the abatement of costs .…”

Section: Introductionmentioning

confidence: 99%

“…Some researchers have also examined the effectiveness of using carbon‐trading schemes in promoting low‐carbon fuel‐production technologies for the transportation sector and have provided evidence supporting such effectiveness, suggesting that emissions trading represents a solution for the abatement of costs . Other studies also provide evidence that corn‐ethanol systems can mitigate greenhouse gas (GHG) emissions and reduce dependence on imported petroleum . Some researchers also focus on the release of GHG from indirect land‐use changes that are triggered by crop‐based biofuels .…”

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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Modeling the price relationships between crude oil, energy crops and biofuels

Cited by 57 publications

References 27 publications

Does corn market uncertainty impact the US ethanol prices?

Does corn market uncertainty impact the US ethanol prices?

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

Carbon emission and ethanol markets: evidence from Brazil

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