Food vs. Fuel: The Role of Bioenergy
|Autor:||Mgr. Ondřej Filip|
|Rok:||2015 - letní|
|Vedoucí:|| prof. Ing. Karel Janda M.A., Dr., Ph.D.
|Typ práce:|| Diplomová
Finance, finanční trhy a bankovnictví
|Abstrakt:||This thesis studies the relationship between the first generation biofuels and selected
commodities and assets in the USA, Europe, and Brazil. It is the first attempt to combine the
taxonomy and wavelet analyses in a single research application. Our unique dataset comprises
32 weekly price series covering the 2003--2015 time period. First, we employ a method of
minimum spanning trees and hierarchical trees to model a biofuel-related price network. We
demonstrate a development phase shift between Brazilian and the US/EU biofuel industries.
We reveal a strong and stable connection between Brazilian ethanol and its main production
factor, local sugarcane. We further find that US ethanol is closely linked to corn. In the
contrary, European biodiesel exhibits only moderate ties to its production factors. Subsequent
wavelet analysis scrutinizes the identified price connections both in time and frequency
domains. Both Brazilian and US ethanols are found to be positively related to their respective
feedstock commodities. In particular, feedstock proves to lead the price of the biofuel and not
vice versa. Moreover, the dynamics remains qualitatively unchanged when controlled for the
influence of crude oil.