| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11740 |
| DP11740 Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol? | |
| Christiane Baumeister; Lutz Kilian | |
| 发表日期 | 2017-01-03 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view. We utilize a recently proposed methodology to estimate the market’s expectations of the prices of ethanol, unfinished motor gasoline and crude oil at horizons from three months to one year. We quantify the extent to which price changes were anticipated by the market, the extent to which they were unanticipated, and how the risk premium in these markets has evolved. We show that the Renewable Fuel Standard (RFS) is likely to have increased ethanol price expectations by as much $1.45 in the year before and in the year after the implementation of the RFS had started. Our analysis of the term structure of expectations provides support for the view that a shift in ethanol storage demand starting in 2005 caused an increase in the price of ethanol. There is no conclusive evidence that the tightening of the RFS in 2008 shifted market expectations, but our analysis suggests that policy uncertainty about how to deal with the blend wall raised the risk premium in the ethanol futures market in mid-2013 by as much as 50 cents at longer horizons. Finally, we present evidence against a tight link from ethanol price expectations to corn price expectations and hence to storage demand for corn in 2005-06. |
| 主题 | Public Economics |
| 关键词 | Biofuels Policy uncertainty Term structure of price expectations market integration Storage demand risk premium Crude oil Gasoline Corn |
| URL | https://cepr.org/publications/dp11740 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540554 |
| 推荐引用方式 GB/T 7714 | Christiane Baumeister,Lutz Kilian. DP11740 Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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