Publication detail

Kristoufek, L. & Janda, K. & Zilberman, D.: Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA

Author(s): prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, David
prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, David
Type: Articles in journals with impact factor
Year: 2016
Number: 0
ISSN / ISBN:
Published in: GCB Bioenergy 8 (2), pp. 346-356 PDF
Publishing place:
Keywords: corn, ethanol, oil, sugar, wavelet coherence
JEL codes:
Suggested Citation:
Grants: GACR 15-00036S Credit Risk Modeling for Financial and Commodity Assets Portfolios GACR P402/11/0948 Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation
Abstract: We use the wavelet coherence methodology to investigate the relations between prices of ethanol and its feedstocks. Our continuous wavelet framework allows for discovering price connections and their evolution in both time and frequency domain in the most important ethanol markets - Brazil and the USA. For both of these markets, we show that the long-run relationship between prices of ethanol and corn (in the USA) or sugar (in Brazil) is positive, strong and stable in time. Importantly, we show that the prices of feedstock lead the prices of ethanol and not the other way around. The price lead of feedstock is documented for both short- and long-run horizons. Our qualitative results hold true even when the influence of crude oil prices is accounted for by utilizing partial wavelet coherence approach.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance