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Dynamics and evolution of the role of biofuels in global commodity and financial markets

Author

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  • Ondrej Filip

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

  • Karel Janda

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University
    Faculty of Finance and Accounting, University of Economics)

  • Ladislav Kristoufek

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

  • David Zilberman

    (University of California)

Abstract

Biofuels form part of a complex system comprising their production factors (usually agricultural commodities) and raw and retail fuels. Recently, it has been suggested that biofuels might affect or be affected by financial assets such as exchange rates, interest rates, stocks, and by other commodities. However, further extensive studies are required to investigate this. Here we present a combination of minimum spanning trees correlation filtration and wavelet analysis uncovering the ties in a wide portfolio of 33 commodities and relevant assets for biofuels between 2003 and 2016. We show that for Brazilian and US ethanol, their respective feedstocks lead biofuels prices, and not vice versa. This dynamic remains qualitatively unchanged when controlling for the influence of crude oil prices. In contrast, European biodiesel exhibits only moderate ties to its production factors. Other financial factors do not interact significantly with biofuel prices in general.

Suggested Citation

  • Ondrej Filip & Karel Janda & Ladislav Kristoufek & David Zilberman, 2016. "Dynamics and evolution of the role of biofuels in global commodity and financial markets," Nature Energy, Nature, vol. 1(12), pages 1-9, December.
    • Handle: RePEc:nat:natene:v:1:y:2016:i:12:d:10.1038_nenergy.2016.169
    DOI: 10.1038/nenergy.2016.169
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    Cited by:

    1. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
    2. Karel Janda & Ladislav Krištoufek, 2019. "The Relationship Between Fuel and Food Prices: Methods and Outcomes," Annual Review of Resource Economics, Annual Reviews, vol. 11(1), pages 195-216, October.
    3. Manuel Monge & Luis A. Gil-Alana, 2020. "The Lithium Industry and Analysis of the Beta Term Structure of Oil Companies," Risks, MDPI, vol. 8(4), pages 1-17, December.
    4. Radmila Krkošková, . "Relationship between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-17.
    5. Paulo Ferreira & Éder J.A.L. Pereira & Hernane B.B. Pereira, 2020. "From Big Data to Econophysics and Its Use to Explain Complex Phenomena," JRFM, MDPI, vol. 13(7), pages 1-10, July.
    6. Flori, Andrea & Pammolli, Fabio & Spelta, Alessandro, 2021. "Commodity prices co-movements and financial stability: A multidimensional visibility nexus with climate conditions," Journal of Financial Stability, Elsevier, vol. 54(C).
    7. Zhou, Wei & Chen, Yan & Chen, Jin, 2022. "Risk spread in multiple energy markets: Extreme volatility spillover network analysis before and during the COVID-19 pandemic," Energy, Elsevier, vol. 256(C).
    8. Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
    9. Karel Janda & Ladislav Kristoufek, 2019. "The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management," CAMA Working Papers 2019-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
    11. Mensi, Walid & Tiwari, Aviral & Bouri, Elie & Roubaud, David & Al-Yahyaee, Khamis H., 2017. "The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes," Energy Economics, Elsevier, vol. 66(C), pages 122-139.
    12. Ondřej Filip & Karel Janda & Ladislav Krištoufek, 2018. "Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů [Prices of Biofuels and Related Commodities: an Analysis Using Methods of Minimum Span," Politická ekonomie, Prague University of Economics and Business, vol. 2018(2), pages 218-239.
    13. Janda, Karel & Kravec, Peter, 2022. "VECM Modelling of the Price Dynamics for Fuels, Agricultural Commodities and Biofuels," EconStor Preprints 259404, ZBW - Leibniz Information Centre for Economics.
    14. Yosra Ghabri & Luu Duc Toan Huynh & Muhammad Ali Nasir, 2024. "Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1318-1344, April.
    15. Tiwari, Aviral Kumar & Nasreen, Samia & Shahbaz, Muhammad & Hammoudeh, Shawkat, 2020. "Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals," Energy Economics, Elsevier, vol. 85(C).
    16. Radmila Krkošková, 2020. "Relationship Between the Brent Oil Price and the US Dollar Exchange Rate," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(2), pages 187-206.
    17. Ji, Qiang & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2019. "Information interdependence among energy, cryptocurrency and major commodity markets," Energy Economics, Elsevier, vol. 81(C), pages 1042-1055.
    18. Abid, Fathi & Kaffel, Bilel, 2018. "Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1028-1045.
    19. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    20. Pereira, Hernane Borges de Barros & Rosário, Raphael Silva do & Pereira, Eder Johnson de Area Leão & Moreira, Davidson Martins & Ferreira, Paulo & Miranda, José Garcia Vivas, 2022. "Network dynamic and stability on European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    21. Benes, Ondrej & Janda, Karel, 2022. "Environmental Dimensions of Biofuels," EconStor Preprints 259403, ZBW - Leibniz Information Centre for Economics.
    22. Zhang, Yali & Shang, Pengjian, 2019. "Multivariate multiscale distribution entropy of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 72-80.

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