Kristoufek, L. & Janda, K. & Zilberman, D.: Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA
| Autor: | prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, David prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, David |
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| Typ: | Články v impaktovaných časopisech |
| Rok: | 2016 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | GCB Bioenergy 8 (2), pp. 346-356 PDF |
| Místo vydání: | |
| Klíčová slova: | corn, ethanol, oil, sugar, wavelet coherence |
| JEL kódy: | |
| Citace: | |
| Granty: | GACR 15-00036S Credit Risk Modeling for Financial and Commodity Assets Portfolios GAČR P402/11/0948 Vývoj analytického rámce pro energetickou bezpečnost: Ekonometrie časových řad, teorie her, meta-analýza a teorie regulace |
| Abstrakt: | 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. |
