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Foods, fuels or finances: Which prices matter for biofuels?

Author

Listed:
  • Ondrej Filip
  • Karel Janda
  • Ladislav Kristoufek
  • David Zilberman

Abstract

We examine co-movements between biofuels and a wide range of commodities and assets in the US, Europe, and Brazil. We analyze a unique dataset of 33 commodities and relevant assets (between 2003 and 2016) which is unprecedented in the biofuels literature. We combine the minimum spanning trees correlation filtration to detect the most important connections of the broad analyzed system with continuous wavelet analysis which allows for studying dynamic connections between biofuels and relevant commodities and assets and their frequency characteristics as well. We confirm that for the Brazilian and US ethanol, their respective feedstock commodities lead the prices of biofuels, and not vice versa. This dynamics remains qualitatively unchanged when controlling for the influence of crude oil prices. As opposed to the Brazilian and US ethanol, the European biodiesel exhibits only moderate ties to its production factors. We show that financial factors do not significantly interact with biofuel prices.

Suggested Citation

  • Ondrej Filip & Karel Janda & Ladislav Kristoufek & David Zilberman, 2016. "Foods, fuels or finances: Which prices matter for biofuels?," CAMA Working Papers 2016-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2016-63
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    File URL: https://cama.crawford.anu.edu.au/sites/default/files/publication/cama_crawford_anu_edu_au/2016-10/63_2016_filip_janda_kristoufek_zilberman.pdf
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    Cited by:

    1. Václav Brož & Lukáš Pfeifer, 2021. "Are risk weights of banks in the Czech Republic procyclical? Evidence from wavelet analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 10(1), pages 113-139.

    More about this item

    Keywords

    biofuels; prices; minimum spanning tree; wavelet coherence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
    • Q16 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - R&D; Agricultural Technology; Biofuels; Agricultural Extension Services
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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