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Regime-Dependent Topological Properties of Biofuels Networks

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  • Ladislav Kristoufek
  • Karel Janda
  • David Zilberman

Abstract

We analyze the relationships between biodiesel, ethanol and related fuels and agricultural commodities with a use of minimal spanning trees and hierarchical trees and Granger causality. We construct this trees for different frequencies (weekly, monthly and quarterly). We find that in short-term, both ethanol and biodiesel are very weakly connected with the other commodities. In medium and long term, the network structure becomes more interesting. We especially concentrate on the links and comovements between the commodities for different stages of the market based on the level of prices of important commodities or groups of commodities. Such approach in general confirms the separation of network into fuels and food branches for majority of analyzed cases.

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File URL: http://cama.crawford.anu.edu.au/pdf/working-papers/2012/492012.pdf
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Bibliographic Info

Paper provided by Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University in its series CAMA Working Papers with number 2012-49.

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Length: 31 pages
Date of creation: Dec 2012
Date of revision:
Handle: RePEc:een:camaaa:2012-49

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Keywords: Biofuels; Networks; Causality;

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References

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  1. Ciaian, Pavel & Kancs, d'Artis, 2010. "Interdependencies in the Energy-Bioenergy-Food Price Systems: A Cointegration Analysis," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association 61009, Agricultural and Applied Economics Association.
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  5. Pavel Ciaian & d'Artis Kancs, 2011. "Food, Energy and Environment : is Bioenergy the missing link?," LICOS Discussion Papers, LICOS - Centre for Institutions and Economic Performance, KU Leuven 29211, LICOS - Centre for Institutions and Economic Performance, KU Leuven.
  6. Mizuno, Takayuki & Takayasu, Hideki & Takayasu, Misako, 2006. "Correlation networks among currencies," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 364(C), pages 336-342.
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  12. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1380-1391.
  13. Du, Xiaodong & Yu, Cindy L. & Hayes, Dermot J., 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association 49276, Agricultural and Applied Economics Association.
  14. Drabik, Dusan & de Gorter, Harry & Just, David R., 2010. "The Implications of Alternative Biofuel Policies on Carbon Leakage," Working Papers, Cornell University, Department of Applied Economics and Management 126975, Cornell University, Department of Applied Economics and Management.
  15. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, Elsevier, vol. 37(C), pages 141-151.
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  17. Rajcaniova, Miroslava & Drabik, Dusan & Ciaian, Pavel, 2011. "International Interlinkages of Biofuel Prices: The Role of Biofuel Policies," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 114786, European Association of Agricultural Economists.
  18. Teresa Serra & David Zilberman & José M. Gil & Barry K. Goodwin, 2011. "Nonlinearities in the U.S. corn‐ethanol‐oil‐gasoline price system," Agricultural Economics, International Association of Agricultural Economists, International Association of Agricultural Economists, vol. 42(1), pages 35-45, 01.
  19. Rob Bailis & Barbara Sophia Koebl & Mark Sanders, 2011. "Reducing Fuel Volatility - An Additional Benefit From Blending Bio-fuels?," Working Papers, Utrecht School of Economics 11-01, Utrecht School of Economics.
  20. Jang, Wooseok & Lee, Junghoon & Chang, Woojin, 2011. "Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 390(4), pages 707-718.
  21. Zibin Zhang & Luanne Lohr & Cesar L. Escalante & Michael E. Wetzstein, 2008. "Mitigating Volatile U.S. Gasoline Prices and Internalizing External Costs: A Win-Win Fuel Portfolio," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 90(5), pages 1218-1225.
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Cited by:
  1. Vacha, Lukas & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2013. "Time–frequency dynamics of biofuel–fuel–food system," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 233-241.
  2. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, Elsevier, vol. 42(C), pages 152-160.

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