Price volatility in ethanol markets

Teresa Serra, David Zilberman and José Gil

European Review of Agricultural Economics, 2011, vol. 38, issue 2, 259-280

Abstract: This research evaluates price volatility transmission in the Brazilian ethanol industry over time and across markets by using a new methodological approach proposed by Seo. The main advantage of Seo's method is that it allows for joint estimation of the co-integration relationship between the price series investigated and the multivariate generalised autoregressive conditional heteroscedasticity process. It thus allows the responses of both food price levels and volatility to unanticipated shocks to be considered together. Results suggest a strong link between food and energy markets, both in terms of price levels and volatility. Oxford University Press and Foundation for the European Review of Agricultural Economics 2010; all rights reserved. For permissions, please email journals.permissions@oup.com, Oxford University Press.

Date: 2011
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Working Paper: Price volatility in ethanol markets (2009)
Working Paper: Price volatility in ethanol markets (2009)
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