Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship

Sergio Adriani David, Claudio M. C. Inácio and José A. Tenreiro Machado
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Sergio Adriani David: Department of Biosystems Engineering, University of Sao Paulo, Pirassununga SP 13635-900, Brazil
Claudio M. C. Inácio: Department of Biosystems Engineering, University of Sao Paulo, Pirassununga SP 13635-900, Brazil
José A. Tenreiro Machado: Institute of Engineering, Polytechnic of Porto, 4249-015 Porto, Portugal

Mathematics, 2019, vol. 7, issue 9, 1-25

Abstract: Brazil is an important player when it comes to biofuel and agricultural production. The knowledge of the price relationship between these markets has increasing importance. This paper adopts several tools, namely the Bai–Perron test of breakpoints, the Johansen cointegration test and the vector error correction model exploited by the orthogonal impulse response and the forecast error variance decomposition, for investigating the price transmission among the ethanol and the main Brazil’s agricultural commodities (sugar, cotton, arabica coffee, robusta coffee, live cattle, corn and soybean). The data series cover the period from January 2011 up to December 2018. The results suggest a stronger price transmission from the ethanol commodity to the agricultural commodities, rather than the opposite situation.

Keywords: ethanol; time series; multivariate analysis; cointegration; VECM (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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