Work detail

Interconnections within Food, Biofuel and Fossil Fuel Markets: Cointegration Analysis

Author: Bc. Štěpán Chrz
Year: 2012 - summer
Leaders: † Ing. Zdeněk Hrubý CSc.
Work type: Bachelors
Language: Czech
Pages: 63
Awards and prizes: B.A. with distinction from the Dean of the Faculty of Social Sciences for an extraordinarily good bachelors diploma thesis.
Abstract: This work examines a topic of interconnections within food, biofuel
and fossil fuel markets. The first part provides a general description of
biofuel types, related policy measures and a development of relevant legal
framework in selected regions. Second part describes an analysis of longand
short-term causal relationships between commodities. Furthermore, an
impact of Energy Policy Act of 2005 on these relationships is examined. The
analysis incorporates Johansen cointegration, error correction model, vector
autoregression and Granger causality. A number of equilibrium relationships
are found across the examined markets suggesting an interconnection of the
studied markets. The results of the impact of EPA are inconclusive due to
a limitations of employed models.
Downloadable: Bachelor Theses of Chrz


Česká Spořitelna


Patria Finance