An Empirical Study of the Impact of the U.S. Energy Independence and Security Act of 2007 on the Prices Interaction among Crude Oil Spots and Bio-fuel Crops Spots

• Main Authors: Li,Shih-chi, 李世琪
• Other Authors: Wang,Kai-li
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/93794261262972867918

碩士 === 東海大學 === 管理碩士在職專班 === 96 === With the weekly-data time series of crude oil spot price, and the spot prices of three kinds of bio-fuel crops, i.e. soybean, corn and wheat, as the endogenous variables, and the weekly-data time series of the U.S. dollar index as the exogenous variable, this thesis aims to empirically investigate the impact of the U.S. Energy Independence and Security Act of 2007 on the prices interaction among crude oil spots and the above three bio-fuel crops spots. All the data collected for investigation are from 01/03/2003 to 14/03/2008. The research results show that, before 2006, the crude oil spot price and the above three bio-fuel crops spot prices were not cointegrated; however, after 2006, they were cointegrated, meaning there was a long run equilibrium relationship among them. The author thinks it was the U.S. Energy Independence and Security Act of 2007 and people’s psychology of expecting the enforcement of that policy since 2006 that caused this long run equilibrium state among the above variables. By further using the Vector Error Correction Model(VECM) to analyze the short run interaction among the above variables, it is shown that, corn spot price will return to the long run equilibrium state promptly after a short run deviation from the long run equilibrium state, hinting the liquidity of corn spots seems slower than that of corn futures; while in the prices interaction among crude oil spots and bio-fuel crops spots, crude oil spot price apparently had a strong influence on the spot prices of soybean and corn, and a two-way effect between crude oil spot price and corn spot price was found; however, no evident prices interaction was found between wheat spots and crude oil spots. Interaction among the prices of soybean, corn, and wheat, was also found, whether the interaction was caused by the direct or cross effect of price variation of the previous periods of respective variables; it was found that soybean spot price has the highest effect, and next comes with wheat. In addition, the continued depreciation of U.S. dollar during the period investigated was the main reason that caused the uprising of soybean and wheat spot prices. The analysis results of impulse response functions show that after 2006, the impulse responses of the price rates of return of all the above variables descended quickly to zero within 2 to 3 periods(weeks), indicating a strong relationship of short run error correction among the price rates of return of all the above variables. Lastly, the analysis results of the forecasted variance decomposition show that after 2006, the price rates of return of soybean spots and crude oil spots had more power in self explanation, with a level of more than 90%; the exogeneity of the price rates of return of corn spots and wheat spots was relatively weaker; the price rate of return of crude oil spots was accounted by the price rates of return of soybean spots and corn spots to the extent with 1.62% and 4.28% respectively, indicating that the effect of adopting corn-based bio-fuel as an alternative of crude oil was higher than that of soybean-based bio-fuel.