期刊
ENERGY ECONOMICS
卷 34, 期 6, 页码 2157-2166出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2012.03.011
关键词
Ethanol; Corn; Energy; Storage; Arbitrage; Cointegration; Futures; Price-analysis
类别
This article uses the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explores statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol, corn and natural gas and then use the theory of storage to define an inter-temporal equilibrium among these prices. The relationship shows that under certain conditions, future price expectations will influence nearby futures prices and that a short-term relationship between input and output prices will exist. We demonstrate validity of the theory using a structural price model and then by means of time-series techniques. (C) 2012 Elsevier B.V. All rights reserved.
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