This article shows, for the first time, the degree of price volatility connectedness across the major regional ethanol markets in the U.S. Connectedness measures are based on forecast error variance decompositions that inform which prices drive system dynamics. We pay special attention to volatility spillovers to and from Chicago, as it is equipped with one of the largest terminals in the U.S. and is widely regarded as the center of ethanol price discovery in the country. Ethanol prices in the Chicago terminal electronic trading platform are also suspected of being manipulated over the 2017‐2019 period. We use Diebold and Yilmaz (2012 and 2014) and a rolling window approach to study the dynamics of price volatility connectedness over time. Using daily data from 2013 to the beginning of 2021, we find that Chicago is the market that generates the most innovations to other market prices. In contrast, Chicago receives the least amount of innovations from all other markets, placing Chicago at the center of price dynamics. We find that price connectedness measures are correlated with market fundamentals, policy, and concentration in the Chicago terminal electronic trading platform, with the latter being associated to an increase in the relevance of Chicago as a central market.

本文首次展示了美国主要区域乙醇市场的价格波动关联度 关联性度量基于预测误差方差分解，该分解告知哪些价格驱动系统动态。我们特别关注进出芝加哥的波动溢出效应，因为它配备了美国最大的码头之一，并且被广泛认为是该国乙醇价格发现的中心。芝加哥终端的乙醇价格电子交易平台也涉嫌在 2017-2019 年期间被操纵。我们使用 Diebold 和 Yilmaz（2012 年和 2014 年）和滚动窗口方法来研究价格波动关联性随时间变化的动态。使用 2013 年至 2021 年初的每日数据，我们发现芝加哥是对其他市场价格产生最多创新的市场。相比之下，芝加哥从所有其他市场获得的创新最少，使芝加哥处于价格动态的中心。我们发现价格关联性度量与芝加哥终端电子交易平台的市场基本面、政策和集中度相关，后者与芝加哥作为中心市场的相关性增加有关。