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We analyze the relationship between the prices of ethanol, corn, soybeans, wheat and cattle in Nebraska, U.S. We focus on long-run price relations, short-run Granger causality, in-sample and out-of-sample predictability linkages between returns on ethanol, field crops and cattle. Since the ethanol market has been subject to many policy interventions, our analysis takes structural breaks and parameter...
This paper examines the relationship between biofuels, field crops and cattle prices in the U.S. from a new perspective. We focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution, or vice versa. Density forecasts are constructed using Conditional Autoregressive Expectile models estimated with...
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