Co-movements of Ethanol Related Prices: Evidence from Brazil and the USA

Ladislav Krištoufek (), Karel Janda and David Zilberman

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

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.

Keywords: ethanol; corn; sugar; oil; wavelet coherence (search for similar items in EconPapers)
JEL-codes: C22 Q16 Q42 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2015-04
New Economics Papers: this item is included in nep-agr and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2015-11

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