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標題: Asymmetric adjustments in the ethanol and grains markets
作者: Chang, Chia-Lin;Chen, Li-Hsueh;Hammoudeh, Shawkat;McAleer, Michael
Contributors: Wei Chun Wang
關鍵字: Long-run and short-run asymmetric;adjustments;Ethanol;Agricultural products;Arbitrage opportunities;Hedging;Widening and narrowing adjustments
日期: 2012-11
Issue Date: 2013-07-02 10:32:49 (UTC+8)
摘要: This paper examines the long- and short-run asymmetric adjustments and pairs trades for nine pairs of spot
and futures prices, itemized as three own pairs for three different bio-fuel ethanol types, three own pairs for
three related agricultural products, namely corn, soybeans and sugar, and three cross pairs that included
hybrids of the spot price of each of the agricultural products and an ethanol futures price. Most of the spreads'
asymmetric adjustments generally occur during narrowing. The three ethanol pairs that contain the eCBOT
futures with each of Chicago spot, New York Harbor spot and Western European (Rotterdam) spot show
different long-run adjustments, arbitrage profitable opportunities and price risk hedging capabilities. The
asymmetric spread adjustments for the three grains are also different, with corn spread showing the strongest
long-run widening adjustment, and sugar showing the weakest narrowing adjustment. Among others, the
empirical analysis indicates the importance of potentially hedging the spot prices of agricultural commodities
with ethanol futures contracts, which sends an important message that the ethanol futures market is capable
of hedging price risk in agricultural commodity markets. The short-run asymmetric adjustments for individual
prices in the nine pairs, with the exception of the corn own pair, underscore the importance of futures prices
in the price discovery and hedging potential, particularly for ethanol futures.
Relation: Energy Economics, Volume 34, page(s) 1990–2002.
Appears in Collections:[依資料類型分類] 期刊論文
[依教師分類] 張嘉玲

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