Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets
研究了原油价格波动如何影响生物燃料原料（如乙醇和生物柴油）市场的价格不确定性，并比较了消费指令和税收抵免两种政策下波动传导的差异。
Abstract Over recent decades, the link between crude oil and agricultural markets has been reinforced following the introduction of biofuels. We use timely measures of (co)variation spillovers to analyze the role of crude oil in shaping price uncertainties of agricultural commodities, which are largely used as biofuel feedstocks. Our sectoral‐ and market‐specific measures distinguish tranquil (1995–2005) and crisis episodes (2006–2015), as well as periods during which either consumption mandates or tax credits were enacted to spur biofuels. During the crisis period, crude oil volatility transmissions account for 16% (20%) of price uncertainties in ethanol (biodiesel) feedstock markets on average. Moreover, we find evidence of enhanced volatility transmissions under tax credit regimes compared with consumption mandates. The results from pooled regressions confirm stronger volatility transmissions by about 12% under the enactment of tax credits.