Foods, fuels or finances: Which prices matter for biofuels?

Ondrej Filip, Karel Janda, Ladislav Krištoufek () and David Zilberman

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We examine co-movements between biofuels and a wide range of commodities and assets in the US, Europe, and Brazil. We analyze a unique dataset of 33 commodities and relevant assets (between 2003 and 2016) which is unprecedented in the biofuels literature. We combine the minimum spanning trees correlation filtration to detect the most important connections of the broad analyzed system with continuous wavelet analysis which allows for studying dynamic connections between biofuels and relevant commodities and assets and their frequency characteristics as well. We confirm that for the Brazilian and US ethanol, their respective feedstock commodities lead the prices of biofuels, and not vice versa. This dynamics remains qualitatively unchanged when controlling for the influence of crude oil prices. As opposed to the Brazilian and US ethanol, the European biodiesel exhibits only moderate ties to its production factors. We show that financial factors do not significantly interact with biofuel prices.

Keywords: biofuels; prices; minimum spanning tree; wavelet coherence (search for similar items in EconPapers)
JEL-codes: C22 C38 Q16 Q42 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2016-10
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Foods, Fuels or Finances: Which Prices Matter for Biofuels? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2016-63

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