Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model

Debdatta Pal () and Subrata K. Mitra
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Debdatta Pal: Indian Institute of Management
Subrata K. Mitra: Indian Institute of Management

Empirical Economics, 2017, vol. 52, issue 4, No 19, 1609-1626

Abstract: Abstract We use the quantile autoregressive distributed lag model of Galvao et al. (Oxf Bull Econ Stat 75:307–321, 2013) to explore the possible relationship between prices of diesel and soybean. Monthly US diesel and soybean prices spanning from January 2004 to June 2014 are used in this analysis. Strong links between diesel and soybean prices are identified over the long run. Results indicate that soybean price movement is tail-dependent and varies over quantiles. In the upper quantiles, soybean prices respond strongly to diesel price fluctuations as compared to that in the lower quantiles.

Keywords: Diesel; Soybean; Biofuels; Quantile autoregressive distributed lag model (search for similar items in EconPapers)
JEL-codes: C22 Q11 Q16 Q41 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s00181-016-1114-4

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