On the drivers of commodity co-movement: Evidence from biofuels


Autoria(s): Peñaranda, Francisco; Rupérez-Micola, Augusto
Contribuinte(s)

Universitat Pompeu Fabra. Departament d'Economia i Empresa

Data(s)

02/11/2009

Resumo

We use the recent introduction of biofuels to study the effect of industry factors on the relationshipsbetween wholesale commodity prices. Correlations between agricultural products and oilare strongest in the 2005-09 period, coinciding with the boom of biofuels, and remain substantialuntil 2011. We disentangle three possible drivers for the linkage: substitution, energy costs, andfinancialization. The timing and magnitude of the biofuels-to-oil relationships are different to thoseof other commodities, and far higher than can be justified by costs and financialization. Substitutionand costs drive the monthly correlations of long-term futures, and each of the three contributeequally to the daily co-movement of the short-term ones. The findings survive many robustnesschecks and appear in the stock market.

Identificador

http://hdl.handle.net/10230/5607

Idioma(s)

eng

Direitos

L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons

info:eu-repo/semantics/openAccess

<a href="http://creativecommons.org/licenses/by-nc-nd/3.0/es/">http://creativecommons.org/licenses/by-nc-nd/3.0/es/</a>

Palavras-Chave #Finance and Accounting #Macroeconomics and International Economics #Statistics, Econometrics and Quantitative Methods #biofuels #commodities #co-movement #ethanol #oil #structural breaks
Tipo

info:eu-repo/semantics/workingPaper