Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Do bio‐fuel policies lead to speculative behavior?

Do bio‐fuel policies lead to speculative behavior? Purpose – This paper seeks to study the impact of bio‐fuel policies on oil and food futures prices from December 6, 2004 to August 1, 2008. Design/methodology/approach – The daily closing prices of brent crude oil, light sweet crude oil, corn, wheat, soybeans, and rough rice futures from December 6, 2004 to August 1, 2008 are used in this research. The vector error correction model is applied in order to study the impact of bio‐fuel policies on oil and agricultural futures prices. Findings – Unit root and cointegration tests show that the brent crude oil, light sweet crude oil, wheat, corn, soybeans, and rough rice futures are stationary and have a long‐run equilibrium relationship. Granger causality tests of the four periods shows that the causality relationship between oil futures and food futures changes over time. The first period result shows many Granger causes on several variables at a 5 percent significance level. The second period has more Granger causes at the 5 percent significance level. However, the Granger causality relationships become fewer and fewer in the third and fourth period. Originality/value – This is the first paper to study the impact of the four major bio‐fuel policies of Brazil, the European Union, and the USA. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Economic Policy Emerald Publishing

Do bio‐fuel policies lead to speculative behavior?

Download PDF
14 pages

Loading next page...
 
/lp/emerald-publishing/do-bio-fuel-policies-lead-to-speculative-behavior-LSvD4idYj1

References (35)

Publisher
Emerald Publishing
Copyright
Copyright © 2011 Emerald Group Publishing Limited. All rights reserved.
ISSN
1757-6385
DOI
10.1108/17576381111133624
Publisher site
See Article on Publisher Site

Abstract

Purpose – This paper seeks to study the impact of bio‐fuel policies on oil and food futures prices from December 6, 2004 to August 1, 2008. Design/methodology/approach – The daily closing prices of brent crude oil, light sweet crude oil, corn, wheat, soybeans, and rough rice futures from December 6, 2004 to August 1, 2008 are used in this research. The vector error correction model is applied in order to study the impact of bio‐fuel policies on oil and agricultural futures prices. Findings – Unit root and cointegration tests show that the brent crude oil, light sweet crude oil, wheat, corn, soybeans, and rough rice futures are stationary and have a long‐run equilibrium relationship. Granger causality tests of the four periods shows that the causality relationship between oil futures and food futures changes over time. The first period result shows many Granger causes on several variables at a 5 percent significance level. The second period has more Granger causes at the 5 percent significance level. However, the Granger causality relationships become fewer and fewer in the third and fourth period. Originality/value – This is the first paper to study the impact of the four major bio‐fuel policies of Brazil, the European Union, and the USA.

Journal

Journal of Financial Economic Policy – Emerald Publishing

Published: May 31, 2011

Keywords: Fuels; Futures markets; Oils; Brazil; European union; United States of America

There are no references for this article.