On the drivers of commodity co-movement: Evidence from biofuels
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- dc.contributor.author Peñaranda, Franciscoca
- dc.contributor.author Rupérez-Micola, Augustoca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:53Z
- dc.date.available 2017-07-26T10:50:53Z
- dc.date.issued 2009-10-01
- dc.date.modified 2017-07-23T02:12:45Z
- dc.description.abstract We use the recent introduction of biofuels to study the effect of industry factors on the relationships between wholesale commodity prices. Correlations between agricultural products and oil are strongest in the 2005-09 period, coinciding with the boom of biofuels, and remain substantial until 2011. We disentangle three possible drivers for the linkage: substitution, energy costs, and financialization. The timing and magnitude of the biofuels-to-oil relationships are different to those of other commodities, and far higher than can be justified by costs and financialization. Substitution and costs drive the monthly correlations of long-term futures, and each of the three contribute equally to the daily co-movement of the short-term ones. The findings survive many robustness checks and appear in the stock market.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1174
- dc.identifier.uri http://hdl.handle.net/10230/5607
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1174
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword biofuels
- dc.subject.keyword commodities
- dc.subject.keyword co-movement
- dc.subject.keyword ethanol
- dc.subject.keyword oil
- dc.subject.keyword structural breaks
- dc.subject.keyword Finance and Accounting
- dc.subject.keyword Macroeconomics and International Economics
- dc.subject.keyword Statistics, Econometrics and Quantitative Methods
- dc.title On the drivers of commodity co-movement: Evidence from biofuelsca
- dc.type info:eu-repo/semantics/workingPaper