The Relationship among Ethanol, Sugar and Oil Prices in Brazil: Cointegration Analysis with Structural Breaks

Bo Chen and Sayed Saghaian

No 196788, 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia from Southern Agricultural Economics Association

Abstract: Ethanol has gradually gain momentum in the world’s energy market in recent decades with Brazil the largest producers. The issue of price linkage among ethanol, sugar and oil is particular interesting and important in the context of Brazilian sugarcane sector. By accounting for the possible structural breaks in the data, we investigate the price linkage of the three commodities and discover that prices are not cointegrated in the first sub-periods but cointegrated in the second sub-period. Also oil price demonstrates weakly exogenous to the prices of the other two commodities; sugar prices appears to drive the ethanol price in the first sub-periods while in the second sub-period, they influence one another.

Keywords: Agribusiness; Resource/Energy Economics and Policy (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ags:saea15:196788

DOI: 10.22004/ag.econ.196788

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