Detail publikace

Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities: A taxonomy perspective

Autor: prof. Ing. Karel Janda M.A., Dr., Ph.D., David Zilberman
prof. PhDr. Ladislav Krištoufek Ph.D., David Zilberman
Typ: IES Working Papers
Rok: 2012
Číslo: 15
Publikováno v: IES Working Papers 15/2012
Místo vydání: Prague
Klíčová slova: biofuels, networks, minimal spanning tree, hierarchical tree
JEL kódy: C38, Q16, Q42
Citace: Kristoufek, L., Janda, K., Zilberman, D. (2012). “Correlations between biofuels and related commodities: A taxonomy perspective” IES Working Paper 15/2012. IES FSV. Charles University.
Granty: 402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely
Abstrakt: In this paper, we analyze the relationships between the prices of biodiesel, ethanol and related fuels and agricultural commodities with a use of minimal spanning trees and hierarchical trees. We find that in short-term, both ethanol and biodiesel are very weakly connected with the other commodities. In medium-term, the biofuels network becomes more structured. The system splits into two well separated branches -- a fuels part and a food part. Biodiesel tends to the fuels branch and ethanol to the food branch. When the periods before and after the food crisis of 2007/2008 are compared, the connections are much stronger for the post-crisis period. This is the first application of this methodology on the biofuels systems.
Ke stažení: WP 2012_15_Kristoufek et al


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