Price volatility in ethanol markets

David Zilberman · José María Gil Roig

187 citations0/0 files storedEuropean Review of Agricultural Economics

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

Abstract

This research evaluates price volatility transmission in the Brazilian ethanol industry over time and across markets by using a new methodological approach proposed by Seo. The main advantage of Seo's method is that it allows for joint estimation of the co-integration relationship between the price series investigated and the multivariate generalised autoregressive conditional heteroscedasticity process. It thus allows the responses of both food price levels and volatility to unanticipated shocks to be considered together. Results suggest a strong link between food and energy markets, both in terms of price levels and volatility.

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References

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