Kristoufek, L. & Janda, K. & Zilberman, D.: Non-linear price transmission between biofuels, fuels and food commodities
| Author(s): | prof. Ing. Karel Janda M.A., Dr., Ph.D., David, Zilberman prof. PhDr. Ladislav Krištoufek Ph.D., David, Zilberman |
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| Type: | IES Working Papers |
| Year: | 2013 |
| Number: | 16 |
| ISSN / ISBN: | |
| Published in: | IES Working Papers 16/2013 |
| Publishing place: | Prague |
| Keywords: | biofuels; price transmission; non-linearity |
| JEL codes: | C22, Q16, Q42 |
| Suggested Citation: | Krištoufek L., Janda K., Zilberman, D. (2013). “Non-linear price transmission between biofuels, fuels and food commodities” IES Working Paper 16/2013. IES FSV. Charles University. |
| Abstract: | For the biofuel markets and related commodities, we study their price transmission, which is in fact equivalent to studying price cross-elasticities. Importantly, we focus on the price dependence of the price transmission mechanism. Several methodological caveats are discussed. Specifically, we combine the memory robust feasible generalized least squares estimation with two-stage least squares to control for endogeneity bias and inconsistency. We find that both ethanol and biodiesel prices are responsive to their production factors (ethanol to corn, and biodiesel to German diesel). The strength of transmission between both significant pairs increased remarkably during the food crisis of 2007/2008. |
| Downloadable: |
WP_2013_16_Kristoufek_Janda_Zilberman |
