Kristoufek, L. & Janda, K. & Zilberman, D.: Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA
| Author(s): | prof. Ing. Karel Janda M.A., Dr., Ph.D., Zilberman, David prof. PhDr. Ladislav Krištoufek Ph.D., Zilberman, David |
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| Type: | Others |
| Year: | 2015 |
| Number: | 0 |
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| Published in: | CAMA Working Paper 11/2015 PDF |
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| Keywords: | ethanol, corn, sugar, oil, wavelet coherence |
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| Grants: | GACR 15-00036S Credit Risk Modeling for Financial and Commodity Assets Portfolios GACR P402/11/0948 Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation |
| Abstract: | 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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