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Regime-Dependent Topological Properties of Biofuels Networks

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Author Info

  • 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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  6. Ciaian, Pavel & Kancs, d'Artis, 2011. "Food, energy and environment: Is bioenergy the missing link?," Food Policy, Elsevier, vol. 36(5), pages 571-580, October.
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  8. Pavel Ciaian & d'Artis Kancs, 2009. "Interdependencies in the Energy-Bioenergy-Food Price Systems: A Cointegration Analysis," EERI Research Paper Series EERI_RP_2009_06, Economics and Econometrics Research Institute (EERI), Brussels.
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  14. Xiaodong Du & Cindy L. Yu & Dermot J. Hayes, 2009. "Speculation and Volatility Spillover in the Crude Oil and Agricultural Commodity Markets: A Bayesian Analysis," Center for Agricultural and Rural Development (CARD) Publications 09-wp491, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  15. Zibin Zhang & Luanne Lohr & Cesar Escalante & Michael Wetzstein, 2009. "Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market," Energies, MDPI, Open Access Journal, vol. 2(2), pages 320-339, June.
  16. Kantar, Ersin & Deviren, Bayram & Keskin, Mustafa, 2011. "Hierarchical structure of Turkey’s foreign trade," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3454-3476.
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  19. 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, vol. 390(4), pages 707-718.
  20. Hassouneh, Islam & Serra, Teresa & Goodwin, Barry K. & Gil, José M., 2012. "Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships," Energy Economics, Elsevier, vol. 34(5), pages 1507-1513.
  21. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
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Citations

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Cited by:
  1. Lukas Vacha & Karel Janda & Ladislav Kristoufek & David Zilbermand, 2013. "Time-Frequency Dynamics of Biofuels-Fuels-Food System," CAMA Working Papers 2013-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, vol. 42(C), pages 152-160.

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