Detail publikace

Vacha, L. & Janda, K. & Kristoufek, L. & Zilberman, D.: Time-Frequency Dynamics of Biofuels-Fuels-Food System

Autor: prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, David
prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, David
Mgr. Lukáš Vácha Ph.D., Zilberman, David
Typ: Články v impaktovaných časopisech
Rok: 2013
Číslo: 0
Publikováno v: Energy Economics 40, pp. 233-241 arXiv PDF
Místo vydání:
Klíčová slova: Biofuels; Prices; Correlations; Wavelet coherence
JEL kódy:
Abstrakt: For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are able to investigate dynamics of correlations in time and across scales (frequencies) with a model-free approach. We show that correlations indeed vary in time and across frequencies. We find two highly correlated pairs which are strongly connected at low frequencies – ethanol with corn and biodiesel with German diesel – during almost the whole analyzed period (2003–2011). Structure of correlations remarkably changes during the food crisis — higher frequencies become important for both mentioned pairs. This implies that during stable periods, ethanol is correlated with corn and biodiesel is correlated with German diesel mainly at low frequencies so that they follow a common long-term trend. However, in the crisis periods, ethanol (biodiesel) is led by corn (German diesel) even at high frequencies (low scales), which implies that the biofuels prices react more rapidly to the changes in their producing factors.




Patria Finance
Česká Spořitelna