Did the Renewable Fuel Standard shift market expectations of the price of ethanol? / by Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian.: FB3-5/2017-35E-PDF
“The creation of the Renewable Fuel Standard (RFS) in the United States has had far-reaching implications for the ethanol market (and indirectly for the market for corn), and it is well understood that the response of the price of ethanol (and the price of related commodities such as corn) to shifts in biofuel policies operates in part through market expectations. Yet to date it has proved difficult to measure these expectations and to directly confront these views with the data. In this paper, we utilize a recently proposed methodology to estimate the market’s expectations of the price of ethanol, and for related commodities such as unfinished motor gasoline and crude oil after 2005. 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"--Non-technical summary, p. [iv].
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Did the Renewable Fuel Standard shift market expectations of the price of ethanol? / by Christiane Baumeister, Reinhard Ellwanger and Lutz Kilian. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-35 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "September 2017." Includes bibliographical references (39-43). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Baumeister, Christiane. Ellwanger, Reinhard. Kilian, Lutz. |
| Description | iii, 54 p. : col. charts |
| Catalogue number |
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| Subject terms | Fuels Prices Energy policy Statistical analysis |
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