Food versus Fuel: Causality and Predictability in Distribution

Andrea Bastianin, Marzio Galeotti and Matteo Manera ()

No 56, IEFE Working Papers from IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy

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.

JEL-codes: C22 C53 Q13 Q42 Q47 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2013
New Economics Papers: this item is included in nep-agr and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://repec.unibocconi.it/iefe/bcu/papers/iefewp56.pdf (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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