Do bio‐fuel policies lead to speculative behavior?

Chia‐Hsing Huang and Liang‐Chun Ho

Journal of Financial Economic Policy, 2011, vol. 3, issue 2, 161-174

Abstract: Purpose - This paper seeks to study the impact of bio‐fuel policies on oil and food futures prices from December 6, 2004 to August 1, 2008. Design/methodology/approach - The daily closing prices of brent crude oil, light sweet crude oil, corn, wheat, soybeans, and rough rice futures from December 6, 2004 to August 1, 2008 are used in this research. The vector error correction model is applied in order to study the impact of bio‐fuel policies on oil and agricultural futures prices. Findings - Unit root and cointegration tests show that the brent crude oil, light sweet crude oil, wheat, corn, soybeans, and rough rice futures are stationary and have a long‐run equilibrium relationship. Granger causality tests of the four periods shows that the causality relationship between oil futures and food futures changes over time. The first period result shows many Granger causes on several variables at a 5 percent significance level. The second period has more Granger causes at the 5 percent significance level. However, the Granger causality relationships become fewer and fewer in the third and fourth period. Originality/value - This is the first paper to study the impact of the four major bio‐fuel policies of Brazil, the European Union, and the USA.

Keywords: Fuels; Futures markets; Oils; Brazil; European union; United States of America (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
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:eme:jfeppp:v:3:y:2011:i:2:p:161-174

DOI: 10.1108/17576381111133624

Access Statistics for this article

Journal of Financial Economic Policy is currently edited by Prof Franklin Mixon

More articles in Journal of Financial Economic Policy from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().