Price volatility in ethanol markets
研究巴西乙醇行业价格波动在时间和市场间的传导，采用新方法同时估计价格序列的协整关系和波动性，发现食品与能源市场在价格水平和波动性上紧密关联。
This research evaluates price volatility transmission in the Brazilian ethanol industry over time and across markets by using a new methodological approach proposed by Seo. The main advantage of Seo's method is that it allows for joint estimation of the co-integration relationship between the price series investigated and the multivariate generalised autoregressive conditional heteroscedasticity process. It thus allows the responses of both food price levels and volatility to unanticipated shocks to be considered together. Results suggest a strong link between food and energy markets, both in terms of price levels and volatility.