An empirical analysis of the dynamic interactions among ethanol, crude oil and corn prices in the US market

Dimitrios Dimitriadis () and Constantinos Katrakilidis
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Dimitrios Dimitriadis: Aristotle University of Thessaloniki

Annals of Operations Research, 2020, vol. 294, issue 1, No 3, 47-57

Abstract: Abstract This paper studies the dynamic interactions of the ethanol, crude oil and corn market prices in the United States from January 2005 up to December 2014. The empirical analysis, for the shake of robustness, employs alternative time series methodologies based on single equation and system estimation approaches to cointegration and more specifically, the autoregressive distributed lags and the Johansen ML cointegration methodologies were applied complementary. The findings reveal a statistically significant long-run causal effect running from crude oil and corn prices to ethanol price as well as from ethanol and corn prices to crude oil price. Additionally, a positive relationship between crude oil price and ethanol price was revealed.

Keywords: Ethanol; Agricultural commodities; Crude oil; Corn; Cointegration; Causality (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10479-018-2832-0

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