Data di Pubblicazione:
2014
Citazione:
Causality and predictability in distribution : the ethanol–food price relation revisited / A. Bastianin, M. Galeotti, M. Manera. - In: ENERGY ECONOMICS. - ISSN 0140-9883. - 42:(2014), pp. 152-160. [10.1016/j.eneco.2013.12.014]
Abstract:
This paper examines the relationship between biofuels, field crops and cattle prices in the
U.S. from a new perspective. We focus on predictability in distribution by asking whether ethanol
returns can be used to forecast different parts of field crops and cattle returns distribution, or vice
versa. Density forecasts are constructed using Conditional Autoregressive Expectile models estimated
with Asymmetric Least Squares. Forecast evaluation relies on quantile-weighed scoring rules, which
identify regions of the distribution of interest to the analyst. Results show that both the centre and the left tail of the ethanol returns distribution can be predicted by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of the field crops or cattle
returns distributions
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Biofuels; Density forecasting; Ethanol; Field crops; Granger causality; Quantiles
Elenco autori:
A. Bastianin, M. Galeotti, M. Manera
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