Price volatility in ethanol markets

Teresa Serra and David Zilberman

No 49940, 2009 Conference, August 16-22, 2009, Beijing, China from International Association of Agricultural Economists

Abstract: Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand and supply forces in the energy and food markets are likely to ensure that crude oil, ethanol and feedstock prices co-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also pay attention to the notion of cointegration. Until recently, the methods proposed to estimate cointegration relationships, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration vector that explicitly models conditional heteroskedasticity. More specifically, he proposes a maximum likelihood estimator that estimates the error correction model and the multivariate GARCH process jointly. We follow this proposal.

Keywords: Demand and Price Analysis; Research Methods/ Statistical Methods (search for similar items in EconPapers)
Pages: 19
Date: 2009
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Price volatility in ethanol markets (2011)
Working Paper: Price volatility in ethanol markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae09:49940

DOI: 10.22004/ag.econ.49940

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