Year: 2010
Type: article
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.
DOI: 10.1093/erae/jbq046
Authors: T. Serra, D. Zilberman, J. Gil
Institution: Institute of Agrifood Research and Technology
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
SDG: Zero hunger
Open Access status: green
Funder: Energy Biosciences Institute
OpenAlex ID: W2045535069