Non-linear price transmission between biofuels, fuels and food commodities

Ladislav Krištoufek (), Karel Janda and David Zilberman

No 2013/16, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: For the biofuel markets and related commodities, we study their price transmission, which is in fact equivalent to studying price cross-elasticities. Importantly, we focus on the price dependence of the price transmission mechanism. Several methodological caveats are discussed. Specifically, we combine the memory robust feasible generalized least squares estimation with two-stage least squares to control for endogeneity bias and inconsistency. We find that both ethanol and biodiesel prices are responsive to their production factors (ethanol to corn, and biodiesel to German diesel). The strength of transmission between both significant pairs increased remarkably during the food crisis of 2007/2008.

Keywords: biofuels; price transmission; non-linearity (search for similar items in EconPapers)
JEL-codes: C22 Q16 Q42 (search for similar items in EconPapers)
Pages: 23pages
Date: 2013-10, Revised 2013-10
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (3)

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Working Paper: Non-linear Price Transmission between Biofuels, Fuels and Food Commodities (2013)
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