Foods, Fuels or Finances: Which Prices Matter for Biofuels?

23 Pages Posted: 11 Oct 2016

See all articles by Ondrej Filip

Ondrej Filip

Institute of Economic Studies, Faculty of Social Sciences, Charles University

Karel Janda

Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)

Ladislav Kristoufek

Charles University

David Zilberman

University of California, Berkeley - Department of Agricultural & Resource Economics

Date Written: October 9, 2016

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 feed-stock 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

JEL Classification: C22, C38, Q16, Q42

Suggested Citation

Filip, Ondrej and Janda, Karel and Kristoufek, Ladislav and Zilberman, David, Foods, Fuels or Finances: Which Prices Matter for Biofuels? (October 9, 2016). CAMA Working Paper No. 63/2016 . Available at SSRN: https://ssrn.com/abstract=2850235 or http://dx.doi.org/10.2139/ssrn.2850235

Ondrej Filip

Institute of Economic Studies, Faculty of Social Sciences, Charles University ( email )

Celetná 13
Praha 1, 116 36
Czech Republic

Karel Janda (Contact Author)

Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute) ( email )

P.O. Box 882
7 Politickych veznu
Prague 1, 111 21
Czech Republic
+422 240 05 223 (Phone)
+422 242 11 374 (Fax)

HOME PAGE: http://www.cerge-ei.cz

Ladislav Kristoufek

Charles University ( email )

Celetná 13
Praha 1, 116 36
Czech Republic

David Zilberman

University of California, Berkeley - Department of Agricultural & Resource Economics ( email )

Berkeley, CA 94720
United States

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