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U.S. Energy Price Volatility Spillover in Global Corn Markets

Madhav Regmi () and Allen Featherstone

No 252776, 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama from Southern Agricultural Economics Association

Abstract: This paper examines the impact of energy price shocks within the U.S. to the corn market prices both in the U.S. and in the world. It allows for structural breaks and identifies the price volatility in the corn markets before and after energy policy changes within the U.S. in 2005 and 2007. In particular, this paper develops structural VAR model and a structural VECM model respectively for the series before and after policy change. Results indicate that there is a substantial difference in the dynamic response of corn prices to an ethanol price shock after the policy change. Findings also suggest that an ethanol price shock is more important and persistent than a gasoline price shock while explaining the corn price volatility in corn markets.

Keywords: Agricultural and Food Policy; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy (search for similar items in EconPapers)
Pages: 36
Date: 2017-02-06
New Economics Papers: this item is included in nep-agr and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:ags:saea17:252776

DOI: 10.22004/ag.econ.252776

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