Detail publikace

Kristoufek, L. & Janda, K. & Zilberman, D.: Non-linear price transmission between biofuels, fuels and food commodities

Autor: prof. Ing. Karel Janda M.A., Dr., Ph.D., David, Zilberman
doc. PhDr. Ladislav Krištoufek Ph.D., David, Zilberman
Typ: IES Working Papers
Rok: 2013
Číslo: 16
Publikováno v: IES Working Papers 16/2013
Místo vydání: Prague
Klíčová slova: biofuels; price transmission; non-linearity
JEL kódy: C22, Q16, Q42
Citace: 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.
Abstrakt: 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.
Ke stažení: WP_2013_16_Kristoufek_Janda_Zilberman


McKinsey & Company