Počet záznamů: 1
Time-Frequency Dynamics of Biofuel-Fuel-Food System
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SYSNO ASEP 0393321 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Time-Frequency Dynamics of Biofuel-Fuel-Food System Tvůrce(i) Vácha, Lukáš (UTIA-B) RID
Janda, K. (CZ)
Krištoufek, Ladislav (UTIA-B) RID, ORCID
Zilberman, D. (CZ)Celkový počet autorů 4 Zdroj.dok. Energy Economics. - : Elsevier - ISSN 0140-9883
Roč. 40, č. 1 (2013), s. 233-241Poč.str. 16 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova biofuels ; correlations ; wavelet coherence Vědní obor RIV AH - Ekonomie CEP GBP402/12/G097 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000329081300022 DOI 10.1016/j.eneco.2013.06.015 Anotace For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are able to investigate dynamics of correlations in time and across scales (frequencies) with a model-free approach. We show that correlations indeed vary in time and across frequencies. We find two highly correlated pairs which are strongly connected at low frequencies – ethanol with corn and biodiesel with German diesel – during almost the whole analyzed period (2003-2011). Structure of correlations remarkably changes during the food crisis – higher frequencies become important for both mentioned pairs. This implies that during stable periods, ethanol is correlated with corn and biodiesel is correlated with German diesel mainly at low frequencies so that they follow a common long-term trend. However, in the crisis periods, ethanol (biodiesel) is led by corn (German diesel) even at high frequencies (low scales), which implies that the biofuels prices react more rapidly to the changes in their producing factors. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2014
Počet záznamů: 1