Does Corn Market Uncertainty Impact the US Ethanol Prices?

Tietueen suppeat tiedot
dc.contributor.authorDutta, Anupam
dc.contributor.authorBouri, Elie
dc.contributor.authorJunttila, Juha
dc.contributor.authorUddin, Gazi Salah
dc.contributor.departmentfi=Vebic|en=Vebic|-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttp://orcid.org/0000-0003-4971-3258-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.contributor.studysubjectfi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.date.accessioned2018-06-26T09:48:28Z
dc.date.accessioned2025-06-25T12:39:30Z
dc.date.available2018-06-26T09:48:28Z
dc.date.issued2018-05-23
dc.description.abstractThe 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.-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent30-
dc.identifier.issn1757-1707-
dc.identifier.olddbid7993
dc.identifier.oldhandle10024/7875
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/653
dc.identifier.urnURN:NBN:fi-fe2018062626461-
dc.language.isoeng-
dc.publisherWiley Open Access-
dc.relation.doi10.1111/gcbb.12527-
dc.relation.ispartofjournalGlobal Change Biology Bioenergy-
dc.relation.issn1757-1693-
dc.rightscc by-nc-nd 4.0-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/7875
dc.subjectcorn price uncertainty-
dc.subjectGARCH–jump model-
dc.subjectoil price volatility-
dc.subjectUS ethanol market-
dc.subjectvolatility shocks-
dc.subject.ysoasymmetry-
dc.subject.ysoprices-
dc.titleDoes Corn Market Uncertainty Impact the US Ethanol Prices?-
dc.type.okmA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

Tiedostot

Näytetään 1 - 1 / 1
Name:
Dutta_et_al-2018-GCB_Bioenergy.pdf
Size:
496 KB
Format:
Adobe Portable Document Format
Lataa

Kokoelmat

Artikkelit