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

页码：1609 / 1626

页数：18

共 50 条

[21] Likelihood-based quantile autoregressive distributed lag models and its applications
Tian, Yuzhu
Wang, Liyong
Tang, Manlai
Zang, Yanchao
Tian, Maozai
[J]. JOURNAL OF APPLIED STATISTICS, 2020, 47 (01) : 117 - 131
[22] The Relationship Between the Health Transformation Program and Health Expenditures: Evidence From an Autoregressive Distributed Lag Testing Approach
Ilgun, Gulnur
Konca, Murat
Sonmez, Seda
[J]. VALUE IN HEALTH REGIONAL ISSUES, 2023, 38 : 101 - 108
[23] Globalization and the Nordics Environment: New Insight from Quantile Autoregressive Distributed Lag (Q-ARDL)
Aworinde, O. B.
Badmus, J. O.
[J]. INTERNATIONAL JOURNAL OF ECOLOGICAL ECONOMICS & STATISTICS, 2022, 43 (02) : 98 - 120
[24] THE EFFECT OF REMITTANCES ON POVERTY AND ECONOMIC GROWTH IN JORDAN: EVIDENCE FROM AUGMENTED AUTOREGRESSIVE DISTRIBUTED LAG MODEL
Albataineh, AbdelKarim
[J]. TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY, 2024,
[25] AN ANALYSIS OF PRODUCTION AND PRICE RELATIONSHIP FOR POTATO IN TURKEY: A DISTRIBUTED LAG MODEL APPLICATION
Erdal, H.
Erdal, G.
Esengun, K.
[J]. BULGARIAN JOURNAL OF AGRICULTURAL SCIENCE, 2009, 15 (03): : 243 - 250
[26] Factors affecting food price inflation in Ethiopia: An autoregressive distributed lag approach
Kuma, Berhanu
Gata, Girma
[J]. JOURNAL OF AGRICULTURE AND FOOD RESEARCH, 2023, 12
[27] Is there complementarity or substitutability among Hawaiian islands? Evidence from the autoregressive distributed lag approach
Chi, Junwook
[J]. CURRENT ISSUES IN TOURISM, 2021, 24 (14) : 2013 - 2027
[28] Modelling the economic role of hydropower: Evidence from bootstrap autoregressive distributed lag approach
Bello, Mufutau Opeyemi
Solarin, Sakiru Adebola
Yen, Yuen Yee
[J]. RENEWABLE ENERGY, 2021, 168 : 76 - 84
[29] The relationship between trade, FDI and economic growth in Tunisia: An application of the autoregressive distributed lag model
Belloumi, Mounir
[J]. ECONOMIC SYSTEMS, 2014, 38 (02) : 269 - 287
[30] The relationship between bitcoin and energy commodities: AutoRegressive distributed lag approach
Jouini, Fathi
Messai, Ahlem Selma
Derbali, Abdelkader Mohamed Sghaier
[J]. INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2022, 09 (04)

← 1 2 3 4 5 →