Detail publikace

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
Typ: Ostatní
Rok: 2015
Číslo: 0
ISSN / ISBN:
Publikováno v: CAMA Working Paper 11/2015 PDF
Místo vydání:
Klíčová slova: ethanol, corn, sugar, oil, 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 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 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.
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