Food versus Fuel: Causality and Predictability in Distribution

Andrea Bastianin, Marzio Galeotti and Matteo Manera ()

No 241, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: This paper examines the relationship between biofuels and commodity food prices in the U.S. from a new perspective. While a large body of literature has tried to explain the linkages between sample means and volatilities associated with ethanol and agricultural price returns, little is known about their whole distributions. We focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice versa. Density forecasts are constructed using Conditional Autoregressive Expectile models estimated with Asymmetric Least Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest to the analyst. Results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of the field crops distribution.

Keywords: Biofuels; Ethanol; Field Crops; Density Forecasting; Granger Causality; Quantiles (search for similar items in EconPapers)
JEL-codes: C22 C53 Q13 Q42 Q47 (search for similar items in EconPapers)
Pages: 35
Date: 2013-03, Revised 2013-03
New Economics Papers: this item is included in nep-agr, nep-ene and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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http://repec.dems.unimib.it/repec/pdf/mibwpaper241.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Causality and predictability in distribution: The ethanol–food price relation revisited (2014)
Working Paper: Food versus Fuel: Causality and Predictability in Distribution (2013)
Working Paper: Food versus Fuel: Causality and Predictability in Distribution (2013)
Working Paper: Food versus Fuel: Causality and Predictability in Distribution (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:241

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