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Does corn market uncertainty impact the US ethanol prices?
Univ Vaasa, Finland.
Holy Spirit Univ Kaslik, Lebanon.
Univ Jyvaskyla, Finland.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2018 (English)In: Global Change Biology Bioenergy, ISSN 1757-1693, E-ISSN 1757-1707, Vol. 10, no 9, p. 683-693Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
WILEY , 2018. Vol. 10, no 9, p. 683-693
Keywords [en]
asymmetry; corn price uncertainty; GARCH-jump model; oil price volatility; US ethanol market; volatility shocks
National Category
Physical Geography
Identifiers
URN: urn:nbn:se:liu:diva-151188DOI: 10.1111/gcbb.12527ISI: 000442662800005OAI: oai:DiVA.org:liu-151188DiVA, id: diva2:1248622
Note

Funding Agencies|Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse

Available from: 2018-09-17 Created: 2018-09-17 Last updated: 2018-10-08

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Uddin, Gazi Salah

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Output format
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