EconPapers    
Economics at your fingertips  
 

The influence of biofuels, economic and financial factors on daily returns of commodity futures prices

Bernardina Algieri

Energy Policy, 2014, vol. 69, issue C, 227-247

Abstract: Biofuels production has experienced rapid growth worldwide as one of the several strategies to promote green energy economies. Indeed, climate change mitigation and energy security have been frequent rationales behind biofuel policies, but biofuels production could generate negative impacts, such as additional demand for feedstocks, and therefore for land on which to grow them, with a consequent increase in food commodity prices. In this context, this paper examines the effect of biofuels and other economic and financial factors on daily returns of a group of commodity futures prices using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in univariate and multivariate settings. The results show that a complex of drivers are relevant in explaining commodity futures returns; more precisely, the Standard and Poor׳s (S&P) 500 positively affects commodity markets, while the US/Euro exchange rate brings about a decline in commodity returns. It turns out, in addition, that energy market returns are significant in explaining commodity returns on a daily basis, while monetary liquidity is not. This would imply that biofuel policy should be carefully monitored in order to avoid excessive first-generation subsidization, which would trigger a fuel vs. food conflict.

Keywords: Futures returns; Biofuels; Univariate and multivariate GARCH (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301421514001098
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The influence of biofuels, economic and financial factors on daily returns of commodity futures prices (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:69:y:2014:i:c:p:227-247

DOI: 10.1016/j.enpol.2014.02.020

Access Statistics for this article

Energy Policy is currently edited by N. France

More articles in Energy Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2025-03-19
Handle: RePEc:eee:enepol:v:69:y:2014:i:c:p:227-247