Theses and Dissertations - UTB/UTPA
Date of Award
5-2015
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Finance
First Advisor
Dr. Diego Escobari
Second Advisor
Dr. Monika Rabarison
Third Advisor
Dr. Akinloye Akindayomi
Abstract
Ethanol has been the subject of intense debate following the adoption of the Energy Policy Act of 2005 (EPAct) which established that the gasoline supply in the United States (U.S.) must contain 10% ethanol. The subsequent increase in the production of ethanol since 2005 has had an effect on the prices of corn, ethanol, and gasoline. This work seeks to identify hedging ratios using dynamic multivariate GARCH to best identify hedging opportunities in a newly developed futures market. In addition, Cointegration and Vector Error Models are used to identify relationships in price movements between ethanol futures, spot prices and related commodities. Principal findings include the identification of price relationships between futures and spot prices of ethanol as well as with other related commodities. Further, we apply the newly developed Generalized Suprema Augmented Dickey-Fuller (GSADF) methodology to identify both price bubbles in ethanol and corn prices and overlay the results to see if there are price periods where these periods overlap.
Granting Institution
University of Texas-Pan American
Comments
Copyright 2015 Sergio Garcia. All Rights Reserved.
https://www.proquest.com/dissertations-theses/ethanol-energy-futures-identifying-hedge-ratios/docview/1705541271/se-2?accountid=7119