Institute of Information Theory and Automation

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Price transmission between biofuels, fuels and food commodities

Journal Article

Krištoufek Ladislav, Janda K., Zilberman D.

serial: Biofuels Bioproducts & Biorefining-Biofpr vol.8, 3 (2014), p. 362-373

project(s): GAP402/11/0948, GA ČR

keywords: biofuels, price transmission, non-linearity, elasticity

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abstract (eng):

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 non-linear price transmission mechanism. We discuss several methodological caveats. Specifically, we combine the memory robust feasible generalized least squares estimation with two-stage least squares to control for endogenity 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.


2012-12-21 16:10