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

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