On the divers of commodity co-movement: Evidence from biofuels

Augusto Ruperez Micola and Francisco Penaranda
Additional contact information
Francisco Penaranda: LSF

LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg

Abstract: We use the recent introduction of biofuels to study the effect of industry factors on the relation-ships between wholesale commodity prices. Correlations between agricultural products and oil are strongest in the 2005-09 period, coinciding with the boom of biofuels, and remain substantial until 2011. We disentangle three possible drivers for the linkage: substitution, energy costs, and financialization. The timing and magnitude of the biofuels-to-oil relationships are different to those of other commodities, and far higher than can be justified by costs and financialization.The findings survive many robustness checks and appear in the stock market.

Keywords: biofuels; commodities; co-movement; ethanol; oil; structural breaks. (search for similar items in EconPapers)
JEL-codes: G15 O13 Q18 (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://wwwen.uni.lu/content/download/53158/634724/ ... uels_2011%20(14).pdf (application/pdf)

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: https://EconPapers.repec.org/RePEc:crf:wpaper:11-14

Access Statistics for this paper

More papers in LSF Research Working Paper Series from Luxembourg School of Finance, University of Luxembourg Contact information at EDIRC.
Bibliographic data for series maintained by Martine Zenner ( this e-mail address is bad, please contact ).