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Are global ethanol markets a ‘one great pool’?
Biomass & Bioenergy ( IF 5.8 ) Pub Date : 2019-12-05 , DOI: 10.1016/j.biombioe.2019.105436
Anupam Dutta

The main objective of this empirical work is to test whether the global ethanol markets move together. To serve this purpose, prices of the US and Brazilian ethanol sectors have been analyzed. Employing the asymmetric multivariate GARCH model, we document significant price and volatility spillover effects between the ethanol markets under study. Such findings indicate that world ethanol markets move together and they are not regionalized. These results have important implications. For example, given that ethanol markets are codependent, information flow across ethanol markets could guide policymaking and the formulation of hedging strategies for contagion risk prevention during ethanol market downturns. In addition, this type of information on ethanol markets is also crucial for investors to maintain well-diversified portfolios, and for opening (closing) investment positions.



中文翻译:

全球乙醇市场是“一个巨大的池”吗?

这项实证研究的主要目的是检验全球乙醇市场是否同步发展。为了达到这个目的,已经分析了美国和巴西乙醇行业的价格。使用非对称多元GARCH模型,我们记录了研究中的乙醇市场之间的重大价格和波动溢出效应。这些发现表明,世界乙醇市场齐头并进,并且没有区域化。这些结果具有重要意义。例如,鉴于乙醇市场是相互依存的,因此在乙醇市场低迷期间,跨乙醇市场的信息流可以指导政策制定和制定预防传染风险的对冲策略。此外,这类有关乙醇市场的信息对于投资者保持多元化的投资组合也至关重要,

更新日期:2019-12-06
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