Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective
| Author(s): | prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, Janda prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, Janda |
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| Type: | Articles in journals with impact factor |
| Year: | 2012 |
| Number: | 0 |
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| Published in: | Energy Economics 34(5), pp. 1380-1391 PDF |
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| Keywords: | Biofuels, Networks, Minimal spanning tree, Hierarchical tree |
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| Grants: | GACR P402/11/0948 Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications |
| Abstract: | In this paper, we analyze the relationships between the prices of biodiesel, ethanol and related fuels and agricul- tural commodities with a use of minimal spanning trees and hierarchical trees. To distinguish between short- term and medium-term effects, we construct these trees for different frequencies (weekly and monthly). We find that in short-term, both ethanol and biodiesel are very weakly connected with the other commodities. In medium-term, the biofuels network becomes more structured. The system splits into two well separated branches — a fuels part and a food part. Biodiesel tends to the fuels branch and ethanol to the food branch. When the periods before and after the food crisis of 2007/2008 are compared, the connections are much stronger for the post-crisis period. This is the first application of this methodology on the biofuel systems. |
