Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model

被引：23
|
作者：
Pal, Debdatta [1 ]
Mitra, Subrata K. [2 ]
机构：
[1] Indian Inst Management, Econ & Business Environm, Raipur, Madhya Pradesh, India
[2] Indian Inst Management, Finance & Accounts, Raipur, Madhya Pradesh, India
来源：
EMPIRICAL ECONOMICS | 2017年 / 52卷 / 04期
关键词：
Diesel; Soybean; Biofuels; Quantile autoregressive distributed lag model; TIME-SERIES; WORLD OIL; UNIT-ROOT; COINTEGRATION; FOOD; TRANSMISSION; HYPOTHESIS; ETHANOL; CORN;
D O I：
10.1007/s00181-016-1114-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use the quantile autoregressive distributed lag model of Galvao et al. (Oxf Bull Econ Stat 75:307-321, 2013) to explore the possible relationship between prices of diesel and soybean. Monthly US diesel and soybean prices spanning from January 2004 to June 2014 are used in this analysis. Strong links between diesel and soybean prices are identified over the long run. Results indicate that soybean price movement is tail-dependent and varies over quantiles. In the upper quantiles, soybean prices respond strongly to diesel price fluctuations as compared to that in the lower quantiles.
引用
收藏
页码：1609 / 1626
页数：18
相关论文
共 50 条
  • [1] Diesel and soybean price relationship in the USA: evidence from a quantile autoregressive distributed lag model
    Debdatta Pal
    Subrata K. Mitra
    [J]. Empirical Economics, 2017, 52 : 1609 - 1626
  • [2] Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns
    Galvao, Antonio F., Jr.
    Montes-Rojas, Gabriel
    Park, Sung Y.
    [J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2013, 75 (02) : 307 - 321
  • [3] Impact of price realization on India's tea export: Evidence from Quantile Autoregressive Distributed Lag Model
    Pal, Debdatta
    Mitra, Subrata Kumar
    [J]. AGRICULTURAL ECONOMICS-ZEMEDELSKA EKONOMIKA, 2015, 61 (09): : 422 - 428
  • [4] Public Health Expenditures and Health Outcomes in Pakistan: Evidence from Quantile Autoregressive Distributed Lag Model
    Ullah, Irfan
    Ullah, Assad
    Ali, Sher
    Poulova, Petra
    Akbar, Ahsan
    Shah, Muhammad Haroon
    Rehman, Alam
    Zeeshan, Muhammad
    Afridi, Fakhr E. Alam
    [J]. RISK MANAGEMENT AND HEALTHCARE POLICY, 2021, 14 : 3893 - 3909
  • [5] The impact of shale gas development on the U.S economy: Evidence from a quantile autoregressive distributed lag model
    Solarin, Sakiru Adebola
    Bello, Mufutau Opeyemi
    [J]. ENERGY, 2020, 205
  • [6] Asymmetric impact of rainfall on India’s food grain production: evidence from quantile autoregressive distributed lag model
    Debdatta Pal
    Subrata Kumar Mitra
    [J]. Theoretical and Applied Climatology, 2018, 131 : 69 - 76
  • [7] Asymmetric impact of rainfall on India's food grain production: evidence from quantile autoregressive distributed lag model
    Pal, Debdatta
    Mitra, Subrata Kumar
    [J]. THEORETICAL AND APPLIED CLIMATOLOGY, 2018, 131 (1-2) : 69 - 76
  • [8] Asymmetric price adjustments in the Shanghai Containerized Freight Index: evidence from a nonlinear autoregressive distributed lag model
    Yu, Byungchul
    Shin, Sung-Ho
    Ro, Young-Jin
    [J]. INTERNATIONAL JOURNAL OF SHIPPING AND TRANSPORT LOGISTICS, 2023, 17 (1-2) : 60 - 79
  • [9] Quantile elasticity of international tourism demand for South Korea using the quantile autoregressive distributed lag model
    Li, Haiqi
    Park, Sung Yong
    Seo, Joo Hwan
    [J]. TOURISM ECONOMICS, 2011, 17 (05) : 997 - 1015
  • [10] Quantile cointegration in the autoregressive distributed-lag modeling framework
    Cho, Jin Seo
    Kim, Tae-hwan
    Shin, Yongcheol
    [J]. JOURNAL OF ECONOMETRICS, 2015, 188 (01) : 281 - 300
12345