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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Ethanol Prices and Agricultural Commodities: An Investigation of Their Relationship

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Author(s):
David, Sergio Adriani [1] ; Inacio Jr, Claudio M. C. ; Tenreiro Machado, Jose A. [2]
Total Authors: 3
Affiliation:
[1] Univ Sao Paulo, Dept Biosyst Engn, BR-13635900 Pirassununga, SP - Brazil
[2] Polytech Porto, Inst Engn, P-4249015 Porto - Portugal
Total Affiliations: 2
Document type: Journal article
Source: MATHEMATICS; v. 7, n. 9 SEP 2019.
Web of Science Citations: 0
Abstract

Brazil is an important player when it comes to biofuel and agricultural production. The knowledge of the price relationship between these markets has increasing importance. This paper adopts several tools, namely the Bai-Perron test of breakpoints, the Johansen cointegration test and the vector error correction model exploited by the orthogonal impulse response and the forecast error variance decomposition, for investigating the price transmission among the ethanol and the main Brazil's agricultural commodities (sugar, cotton, arabica coffee, robusta coffee, live cattle, corn and soybean). The data series cover the period from January 2011 up to December 2018. The results suggest a stronger price transmission from the ethanol commodity to the agricultural commodities, rather than the opposite situation. (AU)

FAPESP's process: 17/15517-0 - Dynamic behavior in the fractional scope of agricultural commodities price series vis-a-vis ethanol prices
Grantee:Claudio Marcio Cassela Inacio Junior
Support type: Scholarships in Brazil - Scientific Initiation
FAPESP's process: 17/13815-3 - Fractional dynamics of ethanol price series in Brazil
Grantee:Sergio Adriani David
Support type: Program for Research on Bioenergy (BIOEN) - Regular Program Grants