Author
Miljkovic, Dragan
We employ dynamic time warping, a nonparametric approach to examine price discovery in three ethanol markets in the United States: Chicago, Omaha, and Stockton. Focusing on the lead–lag relationships between ethanol spot prices and futures prices for ethanol, corn, and crude oil, we show that these associations varied significantly across regions and over time, reflecting the heterogeneity of market structures and the influence of both supply-side fundamentals and energy market volatility. Our approach allows us to identify quick reversals in price leadership across markets. The findings underscore the importance of tailoring policy and risk management strategies to regional market conditions.
This study examines the dynamic relationships among farm real estate values, farm returns, farm program payments, and real interest rates in an income capitalization model. Endogeneity is assumed among the variables in a dynamic framework because the direction of causality is unclear from a theoretical standpoint. The analysis encompasses the period beginning with the introduction of the first farm bill in 1933 and ending in 2006. Results indicate farm program payments have positive direct impacts in the short run and positive indirect impacts (via farm returns) in the long run on farm real estate values.