Quantifying the Predictability and Efficiency of the Cointegrated Ethanol and Agricultural Commodities Price Series
Ethanol is an energy commodity and a biofuel that has contributed to mitigate the use of fossil fuels. Nonetheless, the environmental benefits derived from the use of ethanol can occur at the expense of the agricultural commodities prices, affecting their volatilities and efficiency. This problem oc...
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| Veröffentlicht in: | Applied sciences 2019-12, Vol.9 (24), p.5303 |
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| creator | David, Sergio Adriani Inácio, Claudio M. C. Tenreiro Machado, José António |
| description | Ethanol is an energy commodity and a biofuel that has contributed to mitigate the use of fossil fuels. Nonetheless, the environmental benefits derived from the use of ethanol can occur at the expense of the agricultural commodities prices, affecting their volatilities and efficiency. This problem occurs because most of the raw materials currently used to produce biofuels, such as corn in the US, sugarcane in Brazil and oilseeds in Europe, are also important global commodities. This work adopts several mathematical tools, namely the Detrended Fluctuation Analysis, fractal dimension, and the Hurst and Lyapunov exponents. This set of tools measures the market efficiency and the prices’ predictability for the ethanol and some agriculture commodities that revealed price transmission (cointegration), in a previous work. The results show that, in general, the ethanol has a lower predictability horizon than the other commodities. Moreover, it is discussed a quantitative measure to assess the market performance, by means of the efficiency index. We observe that the ethanol efficiency is similar to the other agricultural commodities evaluated. |
| doi_str_mv | 10.3390/app9245303 |
| format | Article |
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| source | DOAJ Directory of Open Access Journals; MDPI - Multidisciplinary Digital Publishing Institute; EZB-FREE-00999 freely available EZB journals |
| subjects | Agricultural commodities Agricultural production Biodiesel fuels Biofuels Climate change Coffee Commodities Commodity prices Efficiency Ethanol Fractal analysis Fractal geometry Fractals Gasoline prices Hirsch index Liapunov exponents Raw materials Sugarcane Volatility |
| title | Quantifying the Predictability and Efficiency of the Cointegrated Ethanol and Agricultural Commodities Price Series |
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