Time-Frequency Dynamics of Biofuel-Fuel-Food System

0393321 - ÚTIA 2014 RIV NL eng J - Článek v odborném periodiku
Vácha, Lukáš - Janda, K. - Krištoufek, Ladislav - Zilberman, D.
Time-Frequency Dynamics of Biofuel-Fuel-Food System.
Energy Economics. Roč. 40, č. 1 (2013), s. 233-241. ISSN 0140-9883. E-ISSN 1873-6181
Grant CEP: GA ČR(CZ) GBP402/12/G097
Grant ostatní: GA ČR(CZ) GAP402/11/0948
Program: GA
Institucionální podpora: RVO:67985556
Klíčová slova: biofuels * correlations * wavelet coherence
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 2.580, rok: 2013
http://library.utia.cas.cz/separaty/2013/E/vacha-time-frequency dynamics of biofuels-fuels-food system.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0222067