메뉴 건너뛰기




Volumn 42, Issue 1, 2011, Pages 35-45

Nonlinearities in the U.S. corn-ethanol-oil-gasoline price system

Author keywords

Biofuels; Cointegration; Threshold; United States

Indexed keywords

BIOFUEL; COINTEGRATION ANALYSIS; ENERGY CROP; ENERGY USE; ERROR ANALYSIS; ETHANOL; MAIZE; NONLINEARITY; NUMERICAL MODEL; PRICING POLICY; THRESHOLD;

EID: 78650363814     PISSN: 01695150     EISSN: 15740862     Source Type: Journal    
DOI: 10.1111/j.1574-0862.2010.00464.x     Document Type: Article
Times cited : (163)

References (41)
  • 1
    • 34547473783 scopus 로고    scopus 로고
    • Threshold effects in price transmission: The case of Brazilian wheat, maize and soya prices
    • Balcombe, K., Bailey, A., Brooks, J., 2007. Threshold effects in price transmission: The case of Brazilian wheat, maize and soya prices. Am. J. Agric. Econ. 89, 308-323.
    • (2007) Am. J. Agric. Econ. , vol.89 , pp. 308-323
    • Balcombe, K.1    Bailey, A.2    Brooks, J.3
  • 2
    • 45449092586 scopus 로고    scopus 로고
    • Bayesian estimation of nonlinear vector error correction models: The case of sugar-ethanol-oil nexus in Brazil
    • Balcombe, K., Rapsomanikis, G., 2008. Bayesian estimation of nonlinear vector error correction models: The case of sugar-ethanol-oil nexus in Brazil. Am. J. Agric. Econ. 90, 658-668.
    • (2008) Am. J. Agric. Econ. , vol.90 , pp. 658-668
    • Balcombe, K.1    Rapsomanikis, G.2
  • 4
    • 84986792427 scopus 로고
    • On estimating thresholds in autoregressive models
    • Chan, K.S., Tong, H., 1986. On estimating thresholds in autoregressive models. J. Time Ser. Anal. 7, 179-190.
    • (1986) J. Time Ser. Anal. , vol.7 , pp. 179-190
    • Chan, K.S.1    Tong, H.2
  • 5
    • 7544221278 scopus 로고    scopus 로고
    • Price dynamics in a vertical sector: The case of butter
    • Chavas, J.P., Metha, A., 2004. Price dynamics in a vertical sector: The case of butter. Am. J. Agric. Econ. 86, 1078-1093.
    • (2004) Am. J. Agric. Econ. , vol.86 , pp. 1078-1093
    • Chavas, J.P.1    Metha, A.2
  • 6
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey, D.A., Fuller, W.A., 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74, 427-431.
    • (1979) J. Am. Stat. Assoc. , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 7
    • 0002158185 scopus 로고    scopus 로고
    • Testing the adequacy of smooth transition autoregressive models
    • Eitrheim, ø., Teräsvirta, T., 1996. Testing the adequacy of smooth transition autoregressive models. J. Econ. 74, 59-75.
    • (1996) J. Econ. , vol.74 , pp. 59-75
    • Eitrheim ø1    Teräsvirta, T.2
  • 8
    • 0039519993 scopus 로고    scopus 로고
    • Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution
    • Elliott, G., 1999. Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. Int. Econ. Rev. 40, 767-783.
    • (1999) Int. Econ. Rev. , vol.40 , pp. 767-783
    • Elliott, G.1
  • 9
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott, G., Rothenberg, T.J., Stock, J.H., 1996. Efficient tests for an autoregressive unit root. Econometrica 64, 813-836.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 10
    • 78650315928 scopus 로고    scopus 로고
    • Energy Information Administration (EIA), Petroleum navigator. Available at, accessed October 2009.
    • Energy Information Administration (EIA), 2009. Petroleum navigator. Available at, accessed October 2009.
    • (2009)
  • 11
    • 0035008087 scopus 로고    scopus 로고
    • Spatial marketing integration in the presence of threshold effects
    • Goodwin, B.K., Piggott, N.E., 2001. Spatial marketing integration in the presence of threshold effects. Am. J. Agric. Econ. 83, 302-317.
    • (2001) Am. J. Agric. Econ. , vol.83 , pp. 302-317
    • Goodwin, B.K.1    Piggott, N.E.2
  • 12
    • 0004998572 scopus 로고    scopus 로고
    • Some tests for parameter constancy in cointegrated VAR-models
    • Hansen, H., Johansen, S., 1999. Some tests for parameter constancy in cointegrated VAR-models. Econometrics J. 2, 306-333.
    • (1999) Econometrics J. , vol.2 , pp. 306-333
    • Hansen, H.1    Johansen, S.2
  • 13
    • 0345510809 scopus 로고
    • Statistical analysis of cointegrating vectors
    • Johansen, S., 1988. Statistical analysis of cointegrating vectors. J. Econ. Dynam. Control 12, 231-254.
    • (1988) J. Econ. Dynam. Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 14
    • 0003488630 scopus 로고    scopus 로고
    • Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
    • 2nd edition. Oxford University Press, Oxford
    • Johansen, S., 1996. Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, 2nd edition. Oxford University Press, Oxford
    • (1996)
    • Johansen, S.1
  • 15
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop, G., Pesaran, M.H., Potter, S.M., 1996. Impulse response analysis in nonlinear multivariate models. J. Econometrics 74, 119-147.
    • (1996) J. Econometrics , vol.74 , pp. 119-147
    • Koop, G.1    Pesaran, M.H.2    Potter, S.M.3
  • 16
    • 78650402866 scopus 로고    scopus 로고
    • Biofuels-at what cost? Government support for ethanol and biodiesel in the United States., International Institute for Sustainable Development, Geneva, Switzerland, Available at, accessed January 2009.
    • Koplow, D., 2006. Biofuels-at what cost? Government support for ethanol and biodiesel in the United States. International Institute for Sustainable Development, Geneva, Switzerland Available at, accessed January 2009.
    • (2006)
    • Koplow, D.1
  • 17
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationarity against the alternative of a unit root
    • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root. J. Econometrics 54, 159-178.
    • (1992) J. Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 18
    • 0000894103 scopus 로고
    • Testing linearity against smooth transition autoregressive models
    • Luukkonen, R., Saikkonen, P., Teräsvirta, T., 1988. Testing linearity against smooth transition autoregressive models. Biometrika 75, 491-499.
    • (1988) Biometrika , vol.75 , pp. 491-499
    • Luukkonen, R.1    Saikkonen, P.2    Teräsvirta, T.3
  • 19
    • 0038035891 scopus 로고    scopus 로고
    • Non-linear aspects of capital market integration and real interest rate equalization
    • Mancuso, A.J., Goodwin, B.K., Grennes, T.J., 2003. Non-linear aspects of capital market integration and real interest rate equalization. Int. Rev. Econ. Finance 12, 283-303.
    • (2003) Int. Rev. Econ. Finance , vol.12 , pp. 283-303
    • Mancuso, A.J.1    Goodwin, B.K.2    Grennes, T.J.3
  • 20
    • 63049135967 scopus 로고    scopus 로고
    • Market integration among electricity markets and their major fuel source markets
    • Mjelde, J.W., Bessler, D.A., 2009. Market integration among electricity markets and their major fuel source markets. Energy Econ. 31, 482-491.
    • (2009) Energy Econ. , vol.31 , pp. 482-491
    • Mjelde, J.W.1    Bessler, D.A.2
  • 21
    • 78650407498 scopus 로고    scopus 로고
    • National Agricultural Statistics Service (NASS), Data and statistics. Available at, accessed January 2009.
    • National Agricultural Statistics Service (NASS), 2008. Data and statistics. Available at, accessed January 2009.
    • (2008)
  • 22
    • 78650314179 scopus 로고    scopus 로고
    • Nebraska Government, Ethanol and unleaded gasoline rack prices. Available at, accessed January 2009.
    • Nebraska Government, 2008. Ethanol and unleaded gasoline rack prices. Available at, accessed January 2009.
    • (2008)
  • 23
    • 78650317818 scopus 로고    scopus 로고
    • OECD, Directorate for Food, Agriculture and Fisheries, Committee for Agriculture, Agricultural market impacts of future growth in the production of biofuels., Paris, Available at, accessed January 2009.
    • OECD, Directorate for Food, Agriculture and Fisheries, Committee for Agriculture, 2006. Agricultural market impacts of future growth in the production of biofuels. Paris Available at, accessed January 2009.
    • (2006)
  • 24
    • 0001561726 scopus 로고    scopus 로고
    • Further evidence on breaking trend functions in macroeconomic variables
    • Perron, P., 1997. Further evidence on breaking trend functions in macroeconomic variables. J. Econometrics 80, 355-385.
    • (1997) J. Econometrics , vol.80 , pp. 355-385
    • Perron, P.1
  • 25
    • 78650387252 scopus 로고    scopus 로고
    • Review of environmental, economic and policy aspects of biofuels. Policy Research Working Paper 4341, The World Bank, Washington, DC
    • Rajagopal, D., Zilberman, D., 2007. Review of environmental, economic and policy aspects of biofuels. Policy Research Working Paper 4341, The World Bank, Washington, DC
    • (2007)
    • Rajagopal, D.1    Zilberman, D.2
  • 26
    • 78650354933 scopus 로고    scopus 로고
    • Threshold cointegration in the sugar-ethanol-oil price system in Brazil: Evidence from nonlinear vector error correction models. FAO Commodity and Trade Policy Research Papers 22, FAO, Rome, Available at, accessed January 2009.
    • Rapsomanikis, G., Hallam, D., 2006. Threshold cointegration in the sugar-ethanol-oil price system in Brazil: Evidence from nonlinear vector error correction models. FAO Commodity and Trade Policy Research Papers 22, FAO, Rome Available at, accessed January 2009.
    • (2006)
    • Rapsomanikis, G.1    Hallam, D.2
  • 27
    • 78650396976 scopus 로고    scopus 로고
    • Renewable Fuels Association, Industry statistics. Available at, accessed January 2009.
    • Renewable Fuels Association, 2009. Industry statistics. Available at, accessed January 2009.
    • (2009)
  • 28
    • 78650409616 scopus 로고    scopus 로고
    • Impact of an increased biomass use on agricultural markets, prices and food security: A longer-term perspective., Paper presented at the International Symposium of Notre Europe, Paris, 27-29 November.
    • Schmidhuber, J., 2006. Impact of an increased biomass use on agricultural markets, prices and food security: A longer-term perspective. Paper presented at the International Symposium of Notre Europe, Paris, 27-29 November.
    • (2006)
    • Schmidhuber, J.1
  • 29
    • 78650311551 scopus 로고    scopus 로고
    • Testing for nonlinear adjustment in smooth transition vector error correction models., Paper presented at The Econometric Society 2004 Far Eastern Meetings, Seoul, Korea, June 30-July 2. Available at, accessed January 2009.
    • Seo, B., 2004. Testing for nonlinear adjustment in smooth transition vector error correction models. Paper presented at The Econometric Society 2004 Far Eastern Meetings, Seoul, Korea, June 30-July 2. Available at, accessed January 2009.
    • (2004)
    • Seo, B.1
  • 30
    • 0347022684 scopus 로고    scopus 로고
    • Price transmission and asymmetric adjustment in the Spanish dairy sector
    • Serra, T., Goodwin, B.K., 2003. Price transmission and asymmetric adjustment in the Spanish dairy sector. Appl. Econ. 35, 1889-1899.
    • (2003) Appl. Econ. , vol.35 , pp. 1889-1899
    • Serra, T.1    Goodwin, B.K.2
  • 31
    • 2542422262 scopus 로고    scopus 로고
    • Regional integration of nineteenth century US egg markets
    • Serra, T., Goodwin, B.K., 2004. Regional integration of nineteenth century US egg markets. J. Agric. Econ. 55, 59-74.
    • (2004) J. Agric. Econ. , vol.55 , pp. 59-74
    • Serra, T.1    Goodwin, B.K.2
  • 32
    • 33748808417 scopus 로고    scopus 로고
    • Local polynomial fitting and spatial price relationships: Price transmission in EU pork markets
    • Serra, T., Gil, J.M., Goodwin, B.K., 2006. Local polynomial fitting and spatial price relationships: Price transmission in EU pork markets. Euro. Rev. Agric. Econ. 33, 415-436.
    • (2006) Euro. Rev. Agric. Econ. , vol.33 , pp. 415-436
    • Serra, T.1    Gil, J.M.2    Goodwin, B.K.3
  • 33
    • 33748888638 scopus 로고    scopus 로고
    • Non-parametric modeling of spatial price relationships
    • Serra, T., Goodwin, B.K., Gil, J.M., Mancuso, A., 2006. Non-parametric modeling of spatial price relationships. J. Agric. Econ. 57, 501-522.
    • (2006) J. Agric. Econ , vol.57 , pp. 501-522
    • Serra, T.1    Goodwin, B.K.2    Gil, J.M.3    Mancuso, A.4
  • 34
    • 11244267924 scopus 로고    scopus 로고
    • USDA's 2002 ethanol cost-of-production survey
    • U.S. Department of Agriculture, 841, July, Washington, DC, Available at, accessed February 2010.
    • Shapouri, H., Gallagher, P., 2005. USDA's 2002 ethanol cost-of-production survey. U.S. Department of Agriculture, Agric. Econ. Rep. 841, July, Washington, DC Available at, accessed February 2010.
    • (2005) Agric. Econ. Rep.
    • Shapouri, H.1    Gallagher, P.2
  • 35
    • 84923053681 scopus 로고
    • Specification, estimation, and evaluation of smooth transition autoregressive models
    • Teräsvirta, T., 1994. Specification, estimation, and evaluation of smooth transition autoregressive models. J. Am. Stat. Assoc. 89, 208-218.
    • (1994) J. Am. Stat. Assoc. , vol.89 , pp. 208-218
    • Teräsvirta, T.1
  • 36
    • 78650388870 scopus 로고    scopus 로고
    • United States Department of Agriculture (USDA), Briefing rooms: Corn. Available at, accessed October 2009.
    • United States Department of Agriculture (USDA), 2009. Briefing rooms: Corn. Available at, accessed October 2009.
    • (2009)
  • 37
    • 78650391633 scopus 로고    scopus 로고
    • United States Department of Energy, US average retail fuel prices. Available at, accessed February 2010.
    • United States Department of Energy, 2010. US average retail fuel prices. Available at, accessed February 2010.
    • (2010)
  • 38
    • 85045980281 scopus 로고    scopus 로고
    • Smooth transition autoregressive models-A survey of recent developments
    • van Dijk, D., Teräsvirta, T., Hans Franses, P., 2002. Smooth transition autoregressive models-A survey of recent developments. Econometric Rev. 21, 1-47.
    • (2002) Econometric Rev. , vol.21 , pp. 1-47
    • van Dijk, D.1    Teräsvirta, T.2    Hans Franses, P.3
  • 39
    • 0033479223 scopus 로고    scopus 로고
    • The asymmetric effects of monetary policy: A nonlinear vector autoregression approach
    • Weise, C.L., 1999. The asymmetric effects of monetary policy: A nonlinear vector autoregression approach. J. Money Credit Bank 31, 85-108.
    • (1999) J. Money Credit Bank , vol.31 , pp. 85-108
    • Weise, C.L.1
  • 40
    • 34447313091 scopus 로고    scopus 로고
    • Can the US ethanol compete in the alternative fuels market?
    • Zhang, Z., Vedenov, D., Wetzstein, M., 2007. Can the US ethanol compete in the alternative fuels market? Agric. Econ. 37, 105-112.
    • (2007) Agric. Econ. , vol.37 , pp. 105-112
    • Zhang, Z.1    Vedenov, D.2    Wetzstein, M.3
  • 41
    • 67649662487 scopus 로고    scopus 로고
    • Ethanol, corn, and soybean price relations in a volatile vehicle-fuels market
    • Zhang, Z., Lohr, L., Escalante, C., Wetzstein, M., 2009. Ethanol, corn, and soybean price relations in a volatile vehicle-fuels market. Energies 2, 320-339.
    • (2009) Energies , vol.2 , pp. 320-339
    • Zhang, Z.1    Lohr, L.2    Escalante, C.3    Wetzstein, M.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.