 Contemporaneous interactions among fuel, biofuel and agricultural commoditiesAdrian Fernandez-Perez, Bart Frijns and Alireza Tourani-Rad Energy Economics, 2016, vol. 58, issue C, 1-10 Abstract: This study examines the contemporaneous interactions among energy (oil and ethanol) and agricultural commodities (corn, soybean, and wheat) in the United States during the period 1 June 2006 to 22 January 2016. Since traditional VAR analysis is not able to capture the contemporaneous interactions among these commodities, we employ a structural VAR analysis in combination with the identification through heteroskedasticity approach. The empirical results indicate that i) the contemporaneous interactions are important, asymmetric, and have implications for impulse response functions; ii) crude oil has a unidirectional contemporaneous impact on the agricultural commodities, and the agricultural commodities (corn and soybean) – mostly used in the biofuel production – have a unidirectional contemporaneous impact on ethanol; and finally, iii) these contemporaneous relations depend on the price level of crude oil in that there are stronger effects from crude oil (agricultural commodities) to agricultural commodities (ethanol) in high crude oil price states. Keywords: Contemporaneous interactions; Biofuel; Structural VAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:58:y:2016:i:c:p:1-10 DOI: 10.1016/j.eneco.2016.05.014 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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