VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels

Karel Janda and Peter Kravec

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: This paper investigates the dynamics of price transmission among ethanol a biodiesel related prices on the Brazilian, US and EU markets. The prices of commodities related to the biofuels are examined under the Johansen co-integration test followed by the Vector Error Correction Model over the period 2003-2020. The period was further divided into 4 periods, defined on the base of the dynamics of world food prices. Together we had 858 weekly observations mostly captured on Friday. In most cases, our result indicates a co-movement, the strength of which changes over periods. The price transmission revealed by our estimations was stronger for Brazilian sugarcane-based ethanol and European biodiesel than for US corn-based ethanol and related commodities.

Keywords: biodiesel; ethanol; price transmission; fuel; food (search for similar items in EconPapers)
JEL-codes: Q42 Q54 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:259404

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