Economics at your fingertips  

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

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

Empirical Economics, 2017, vol. 52, issue 4, 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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Badi H. Baltagi, Bertrand Candelon, Subal C. Kumbhakar and Michael Lechner

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-04-09
Handle: RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1114-4