The relationship among ethanol, sugar and oil prices in brazil: Cointegration analysis with structural breaks
Chen, B; Saghaian, S
HERO ID
10288048
Reference Type
Meetings & Symposia
Subtype
Paper
Year
2015
Language
English
| HERO ID | 10288048 |
|---|---|
| Year | 2015 |
| Title | The relationship among ethanol, sugar and oil prices in brazil: Cointegration analysis with structural breaks |
| Authors | Chen, B; Saghaian, S |
| Abstract | Ethanol has gradually gain momentum in the world’s energy market in recent decades with Brazil the largest producers. The issue of price linkage among ethanol, sugar and oil is particular interesting and important in the context of Brazilian sugarcane sector. By accounting for the possible structural breaks in the data, we investigate the price linkage of the three commodities and discover that prices are not cointegrated in the first sub-periods but cointegrated in the second sub-period. Also oil price demonstrates weakly exogenous to the prices of the other two commodities; sugar prices appears to drive the ethanol price in the first sub-periods while in the second sub-period, they influence one another. |
| Url | https://ageconsearch.umn.edu/record/196788 |
| Material Type | Paper |
| Dupe Override | No |
| Conference Location | Atlanta, GA |
| Conference Name | Southern Agricultural Economics Association’s 2015 Annual Meeting |
| Conference Date | January 31-February 3, 2015 |
| Comments | DOI: 10.22004/ag.econ.196788 |
| Is Public | Yes |
| Language Text | English |
| Keyword | biofuel; break points; cointegration; ethanol; oil; sugarcane; price |