G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11740
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
URLhttps://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.
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