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- Title
Does corn market uncertainty impact the US ethanol prices?
- Authors
Dutta, Anupam; Bouri, Elie; Junttila, Juha; Uddin, Gazi Salah
- Abstract
Abstract: 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.
- Subjects
ETHANOL as fuel; GARCH model; MARKET volatility; CORN industry; PRICES
- Publication
GCB Bioenergy, 2018, Vol 10, Issue 9, p683
- ISSN
1757-1693
- Publication type
Article
- DOI
10.1111/gcbb.12527