抄録
This paper attempts to shed light on the factors driving fluctuations in returns on U.S. ethanol futures prices over the past 15 years using time series analysis based on Markov processes. The empirical results reveal that the U.S. ethanol futures market consists of two distinct regimes. Regime 1, representing a stable state, exhibited a structure positively correlated only with corn prices returns. In contrast, Regime 2, representing an unstable state, was characterized by long-memory properties reflecting past ethanol futures movements, showing a positive correlation with returns on renewable energy investments and a negative correlation with returns on global stock indices. Thus, the results suggest that while ethanol futures correlate only with corn prices during normal times, it tends to correlate with financial markets during periods marked by increased uncertainty stemming from both raw material price volatility and the uncertain outlook for U.S. biofuel policy. The findings are expected to contribute as decision-making for ethanol procurement planning or as market forecasting.
