چگونگی کارایی بازار و تئوری ذرت پیوندی ذخیره سازی و بازار اتانول

This article uses the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explores statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol, corn and natural gas and then use the theory of storage to define an inter-temporal equilibrium among these prices. The relationship shows that under certain conditions, future price expectations will influence nearby futures prices and that a short-term relationship between input and output prices will exist. We demonstrate validity of the theory using a structural price model and then by means of time-series techniques.

Thanks to a combination of favorable market conditions and government support, over a third of the U.S. corn crop currently is used to produce ethanol and ethanol production recently overtook exports as the second largest use category of corn behind feed and residual use.1 This article uses the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explores statistical evidence for the link. Unlike previous studies, we propose that the link between the corn and the energy sectors is manifest in futures prices at least 1 year to maturity. Previous studies have focused on the link in spot (or nearby futures) markets, with disappointing predictive ability. Our contribution recognizes that the link between corn and ethanol prices should come about from a long-run, no-profit condition; therefore, the link is established in forward prices. Once we have established this long-run relationship, cost-of-carry arbitrage conditions that are specific to the corn, ethanol, and natural gas futures markets are used to calculate a nearby futures corn price forecast. Our results lend strong support to the forward equilibrium hypothesis even through the recent ups and downs of corn and ethanol prices. This relationship began in mid-2006 and it has continued to at least the winter of 2012. This relationship appears to be sufficiently strong to dominate all other forces at play in setting the relationship between corn and ethanol prices in recent years. We perform cointegration analyses to econometrically test our hypothesis. These tests lend support for the case that corn, ethanol, and natural gas prices are in fact governed by a breakeven relationship. Further, these tests indicated that the breakeven relationship is established in the futures markets for ethanol, natural gas, and corn 1 year to maturity and then transmitted to the nearby market through the carry costs in each market.

This article used the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explored statistical evidence for the link. Unlike previous studies, we proposed that the link between the corn and the energy sectors is a manifest in futures prices at least 1 year to maturity. This is because the link between corn and ethanol prices should come about from a long-run, no-profit condition; therefore, the link is established in forward prices. Then cost-of-carry arbitrage conditions that are specific to the corn, ethanol, and natural gas futures markets define how the long-run relationship is transmitted to spot prices. We concluded that there is a clear link between ethanol and corn prices. This relationship began in 2007 and it has continued to at least the time of this writing in February 2012. This relationship appears to be sufficiently strong to dominate all other forces at play in setting the relationship between corn and ethanol prices in recent years. The relative slopes of the forward curves specific to the corn, ethanol, and natural gas futures markets govern the relationships between the long-run condition and nearby prices. Over the period of ethanol expansion, the ethanol market has almost always been in backwardation and the natural gas market has predominately been in contango. This situation is consistent with the nearby-based breakeven corn price being biased upward as we predicted with a simple breakeven model. We performed cointegration analyses to econometrically test our hypothesis. These tests lend support for the case that corn, ethanol, and natural gas prices are in fact governed by a breakeven relationship, at least up to the time of this writing. Further, the cointegration tests along with Granger causality tests suggest that the breakeven relationship is established in the futures markets for ethanol, natural gas, and corn 1 year to maturity and then transmitted to the nearby market through the carry costs in each market. We showed that the equilibrium relationship can be sensitive to the market environment, since the causality implied by the estimated error correction model changed following the fall of 2010. Prior to the fall of 2010 in the 1 year forward series, corn prices Granger caused ethanol and natural gas prices, while after the U.S. began to export a significant amount of ethanol in the fall of 2010, all cross equation Granger causality disappears. Since we found evidence of at least one instance of structural change, future research could explore a breakeven model within the framework of a threshold or regime switching model. In this work paper we did not account for the possible non-linearity in the breakeven relationship that could come about in the presence of a binding RFS mandate or a changing export environment. A nonlinear model could improve the performance of our model and would perhaps make this framework useful for forecasting corn and ethanol prices, or for detecting the presence of a binding mandate.