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The Relationship among Ethanol, Sugar and Oil Prices in Brazil: Cointegration Analysis with Structural Breaks

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  • Chen, Bo
  • Saghaian, Sayed

Abstract

Ethanol has gradually gain momentum in the world’s energy market in recent decades with Brazil the largest producers. The issue of price linkage among ethanol, sugar and oil is particular interesting and important in the context of Brazilian sugarcane sector. By accounting for the possible structural breaks in the data, we investigate the price linkage of the three commodities and discover that prices are not cointegrated in the first sub-periods but cointegrated in the second sub-period. Also oil price demonstrates weakly exogenous to the prices of the other two commodities; sugar prices appears to drive the ethanol price in the first sub-periods while in the second sub-period, they influence one another.

Suggested Citation

  • Chen, Bo & Saghaian, Sayed, 2015. "The Relationship among Ethanol, Sugar and Oil Prices in Brazil: Cointegration Analysis with Structural Breaks," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196788, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saea15:196788
    DOI: 10.22004/ag.econ.196788
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    Cited by:

    1. Kazi Abrar Hossain & Syed Abul Basher & A.K. Enamul Haque, 2018. "Quantifying the impact of Ramadan on global raw sugar prices," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 11(4), pages 510-528, June.
    2. Tan Ngoc Vu & Duc Hong Vo & Chi Minh Ho & Loan Thi-Hong Van, 2019. "Modeling the Impact of Agricultural Shocks on Oil Price in the US: A New Approach," JRFM, MDPI, vol. 12(3), pages 1-27, September.
    3. Teixeira, Ana Carolina Rodrigues & Machado, Pedro Gerber & Borges, Raquel Rocha & Mouette, Dominique, 2020. "Public policies to implement alternative fuels in the road transport sector," Transport Policy, Elsevier, vol. 99(C), pages 345-361.
    4. Krzysztof Hryszko & Piotr Szajner, 2017. "Polish Sugar Sector After Abolishing Sugar Production Quotas," Proceedings of International Academic Conferences 5908180, International Institute of Social and Economic Sciences.

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    Keywords

    Agribusiness; Resource /Energy Economics and Policy;

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