Contemporaneous interactions among fuel, biofuel and agricultural commodities

A Fernandez-Perez, B Frijns*, A Tourani-Rad

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


This study examines the contemporaneous interactions among energy (oil and ethanol) and agricultural commodities (corn, soybean, and wheat) in the United States during the period 1 June 2006 to 22 January 2016. Since traditional VAR analysis is not able to capture the contemporaneous interactions among these commodities, we employ a structural VAR analysis in combination with the identification through heteroskedasticity approach. The empirical results indicate that i) the contemporaneous interactions are important, asymmetric, and have implications for impulse response functions; ii) crude oil has a unidirectional contemporaneous impact on the agricultural commodities, and the agricultural commodities (corn and soybean) – mostly used in the biofuel production – have a unidirectional contemporaneous impact on ethanol; and finally, iii) these contemporaneous relations depend on the price level of crude oil in that there are stronger effects from crude oil (agricultural commodities) to agricultural commodities (ethanol) in high crude oil price states.
Original languageEnglish
Pages (from-to)1-10
Number of pages10
JournalEnergy Economics
Publication statusPublished - Aug 2016
Externally publishedYes


  • Biofuel
  • Contemporaneous interactions
  • Structural VAR


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