计量经济分析 = Econometric analysis

Biofuel-related price transmission literature: A review

The efficacy of alternative biofuel policies in achieving energy, environmental and agricultural policy goals is assessed using economic cost-benefit analysis. Government mandates are superior to consumption subsidies, especially with suboptimal fuel taxes and the higher costs involved with raising tax revenues. But subsidies with mandates cause adverse interaction effects; oil consumption is subsidized instead. This unique result also applies to renewable electricity that faces similar policy combinations. Ethanol policy can have a significant impact on corn prices; if not, inefficiency costs rise sharply. Ethanol policy can increase the inefficiency of farm subsidies and vice-versa. Policies that discriminate against trade, such as production subsidies and tariffs, can more than offset any benefits of a mandate. Sustainability standards are ineffective and illegal according to the WTO, and so should be re-designed.

The Social Costs and Benefits of Biofuels: The Intersection of Environmental, Energy and Agricultural Policy

How much hope should we have for biofuels

Cheap food has been taken for granted for almost 30 years. From their peak in the 1970s crisis, real food prices steadily declined in the 1980s and 1990s and eventually reached an all-time low in the early 2000s. Rich and poor governments alike therefore saw little need to invest in agricultural production, and reliance on food imports appeared to be a relatively safe and efficient means of achieving national food security. However, as the international prices of major food cereals surged upward from 2006 to 2008 these perceptions quickly collapsed. Furthermore, although food prices are now lower than their 2008 peak, real prices have remained significantly higher in 2009 and 2010 than they were prior to the crisis, and various simulation models predict that real food prices will remain high until at least the end of the next decade.

Reflections on the Global Food Crisis: how did it happen? how has it hurt? and how can we prevent the next one?

Despite extensive literature on contributing factors to the high commodity prices and volatility in the recent years, few have examined these causal factors together in one analysis. We quantify empirically the relative importance of three factors: global demand, speculation, and energy prices/policy in explaining corn price volatility. A structural vector auto-regression model is developed and variance decomposition is applied to measure the contribution of each factor in explaining corn price variation. We find that speculation is important, but only in the short run. However, in the long run, energy is the most important followed by global demand.

/pdf/disentangling-corn-price-volatility-the-role-of-global-2dm5kserrw.pdf

Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy

Motivated by strong comovement and increasing volatility of energy and agricultural prices, we examine dynamic evolutions of ethanol, gasoline, and corn prices over the period of March 2005-March 2011. A structural change is found around March 2008 in the pairwise dynamic correlations between the prices in a multivariate GARCH model. A structural VAR (SVAR) model is then estimated on two subsamples, one before and one after the identified change point. Using the novel method of identification through heteroscedasticity, we exploit the time-varying price volatilities to fully identify the SVAR model. In the more recent period, ethanol, gasoline, and corn prices are found to be more closely linked with a strengthened corn-ethanol relation, which can be largely explained by the new developments of the biofuel industry and related policy instruments. Variance decomposition shows that for each market a significant and relatively large share of the price variation could be explained by the price changes in the other two markets. The results are robust to the inclusion of seasonal dummies and various representative macroeconomic and financial indicators.

/pdf/inside-the-black-box-the-price-linkage-and-transmission-5bt8f8ndys.pdf

Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets

Assessing the impact of US ethanol on fossil fuel markets: A structural VAR approach ☆

Despite a large number of studies that examine the influence of biofuels and biofuel policy on commodity prices, the impact of biofuel policy on commodity price variability is poorly understood. A good understanding of biofuel policy's impact on price variability is important for mitigating food insecurity and assisting policy formation. We examine how U.S. ethanol policies such as the Renewable Fuel Standard (RFS) mandates and the blend wall affect the price variability of corn and gasoline. We first present an analytical and graphical framework to identify the effect and then use stochastic partial equilibrium simulation to measure the magnitude of the impacts. We show that RFS mandates and the blend wall both reduce the price elasticity of demand for corn and gasoline and therefore increase the price variability when supply shocks occur to the markets. This has important implications for policy actions with respect to maintaining or changing the current RFS mandates and/or blend wall in the US.Biofuel policy; Price variability; Commodity; Stochastic simulation

Lihong Lu McPhail

Papers

Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy

Inside the Black Box: the Price Linkage and Transmission between Energy and Agricultural Markets

Assessing the impact of US ethanol on fossil fuel markets: A structural VAR approach ☆

Impact of US Biofuel Policy on US Corn and Gasoline Price Variability

Impact of US biofuel policy on US corn and gasoline price variability