Does corn market uncertainty impact the US ethanol prices?
Dutta, A., Bouri, E., Junttila, J.-P., & Uddin, G. S. (2018). Does corn market uncertainty impact the US ethanol prices?. Global Change Biology Bioenergy, 10(9), 683-693. https://doi.org/10.1111/gcbb.12527
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Global Change Biology BioenergyDate
2018Copyright
© 2018 The Author. GCB Bioenergy Published by John Wiley & Sons Ltd.
The growing interest in biofuel as a green energy source has intensified the linkages
between corn and ethanol markets, especially in the United States that represents
the largest producing and exporting country for ethanol in the world. In this
study, we examine the effect of corn market uncertainty on the price changes of
US ethanol applying a set of GARCH-jump models. We find that the US ethanol
price changes react positively to the corn market volatility shocks after controlling
for the effect of oil price uncertainty. In addition, we document that the impact of
corn price volatility on the US ethanol prices appears to be asymmetric. Specifically,
only the positive corn market volatility shocks are found to influence the
ethanol market returns. Our findings also suggest that time-varying jumps do exist
in the ethanol market.
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Wiley-Blackwell Publishing Ltd.ISSN Search the Publication Forum
1757-1693Keywords
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https://converis.jyu.fi/converis/portal/detail/Publication/28068961
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