Publication detail

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
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

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