The Ethanol Mandate and Crude Oil and Biofuel Agricultural Commodity Price Dynamics

2018 ◽  
Author(s):  
Apostolos Serletis ◽  
Libo Xu
Keyword(s):  
Crude Oil ◽  
Commodity Price ◽  
Price Dynamics ◽  
Agricultural Commodity ◽  
Ethanol Mandate

scholarly journals Correlation clustering: analysis of major agricultural commodity markets

2018 ◽  
Vol 3 (3) ◽  
pp. 288-302
Author(s):  
János Szenderák
Keyword(s):  
Crude Oil ◽  
Vegetable Oils ◽  
Commodity Prices ◽  
Commodity Price ◽  
Agricultural Commodity ◽  
Correlation Clustering ◽  
Relationship Of ◽  
Agricultural Input ◽  
The Relationship

The aim of this article is to compare the clusters formed by the correlation distances between the agricultural and the energy commodity price returns in different periods of time. The energy and agricultural markets have become more interlinked in the past ten years, which can be attributed partly to the increased usage of biofuels. According to the results of this research, after the global financial and economic crisis of 2008/09, the relationship has become tighter between the agricultural commodity prices and the price of the crude oil. Based on the hierarchical clustering, the relationship between crude oil and sugar, and especially between crude oil and vegetable oils has become stronger. These results support the hypothesis of a more interconnected agricultural and energy market after 2013. Furthermore, the emerged relationship of crude oil with the vegetable oils may indicate the connecting role of biofuels, since biofuels require agricultural input materials, partly vegetable oils. However, the role of biofuels in the present analysis requires further researches.

Crude Oil Price Dynamics With Crash Risk Under Fundamental Shocks

2020 ◽  
Author(s):  
Cho-Hoi Hui ◽  
Chi-Fai Lo ◽  
Chi-Hin Cheung ◽  
Andrew Wong
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Crash Risk ◽  
Price Dynamics ◽  
Crude Oil Price

Can energy commodities affect energy blockchain-based cryptos?

2019 ◽  
Vol 36 (4) ◽  
pp. 682-699 ◽  
Author(s):  
Ikhlaas Gurrib
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Autoregressive Model ◽  
Structural Breaks ◽  
Price Index ◽  
Principal Component ◽  
Commodity Price ◽  
Var Model ◽  
Content Type ◽  
Heating Oil

Purpose The purpose of this paper is to shed fresh light into whether an energy commodity price index (ENFX) and energy blockchain-based crypto price index (ENCX) can be used to predict movements in the energy commodity and energy crypto market. Design/methodology/approach Using principal component analysis over daily data of crude oil, heating oil, natural gas and energy based cryptos, the ENFX and ENCX indices are constructed, where ENFX (ENCX) represents 94% (88%) of variability in energy commodity (energy crypto) prices. Findings Natural gas price movements were better explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX. Granger causality tests confirmed the two markets do not granger cause each other. One standard deviation shock in ENFX had a negative effect on ENCX. Weak forecasting results of the VAR model, support the two markets are not robust forecasters of each other. Robustness wise, the VAR model ranked lower than an autoregressive model, but higher than a random walk model. Research limitations/implications Significant structural breaks at distinct dates in the two markets reinforce that the two markets do not help to predict each other. The findings are limited by the existence of bubbles (December 2017-January 2018) which were witnessed in energy blockchain-based crypto markets and natural gas, but not in crude oil and heating oil. Originality/value As per the authors’ knowledge, this is the first paper to analyze the relationship between leading energy commodities and energy blockchain-based crypto markets.

scholarly journals Wavelet Entropy Based Analysis and Forecasting of Crude Oil Price Dynamics

Entropy ◽  
2015 ◽  
Vol 17 (12) ◽  
pp. 7167-7184 ◽  
Author(s):  
Yingchao Zou ◽  
Lean Yu ◽  
Kaijian He
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Price Dynamics ◽  
Crude Oil Price ◽  
Wavelet Entropy
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