Interconnections within Food, Biofuel and Fossil Fuel Markets: Cointegration Analysis
| Author: | Bc. Štěpán Chrz |
|---|---|
| Year: | 2012 - summer |
| Leaders: | † Ing. Zdeněk Hrubý CSc. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | Czech |
| Pages: | 63 |
| Awards and prizes: | B.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good bachelors diploma thesis. |
| Link: | |
| Abstract: | This work examines a topic of interconnections within food, biofuel and fossil fuel markets. The first part provides a general description of biofuel types, related policy measures and a development of relevant legal framework in selected regions. Second part describes an analysis of longand short-term causal relationships between commodities. Furthermore, an impact of Energy Policy Act of 2005 on these relationships is examined. The analysis incorporates Johansen cointegration, error correction model, vector autoregression and Granger causality. A number of equilibrium relationships are found across the examined markets suggesting an interconnection of the studied markets. The results of the impact of EPA are inconclusive due to a limitations of employed models. |
| Downloadable: | Bachelor Theses of Chrz |
