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Bayesian Estimation and Selection of Nonlinear Vector Error Correction Models : The Case of the Sugar-Ethanol-Oil Nexus in Brazil

Balcombe, Kelvin G.; Rapsomanikis, George - 2015

Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is … examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil … processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices …

Persistent link: https://www.econbiz.de/10014217316

Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?

Kumar, Pawan; Singh, Vipul Kumar; Rao, Sandeep - In: Energy economics 119 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014280132

The shape of the treasury yield curve and commodity prices

Bayaa, Yasmeen; Qadan, Mahmoud - In: International review of financial analysis 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014543998

Facts and fiction in oil market modeling

Kilian, Lutz - 2019

Baumeister and Hamilton (2019a) assert that every critique of their work on oil markets by Kilian and Zhou (2019a) is without merit. In addition, they make the case that key aspects of the economic and econometric analysis in the widely used oil market model of Kilian and Murphy (2014) and its...

Persistent link: https://www.econbiz.de/10012119530