Co-Movements of Ethanol Related Prices: Evidence from Brazil and the USA
Co-Movements of Ethanol Related Prices: Evidence from Brazil and the USA
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乙醇相关价格的联动：来自巴西和美国的证据
DOI：
10.2139/ssrn.2591707
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
D. Zilberman
中科院分区：
文献类型：
--
作者：
L. Kristoufek;K. Janda;D. Zilberman
我们使用小波相干方法来研究乙醇和它的原料价格之间的关系。我们的连续小波框架允许发现价格的连接和它们的演变在时间和频率域中最重要的乙醇市场-巴西和美国。对于这两个市场，我们表明，乙醇和玉米（在美国）或糖（在巴西）的价格之间的长期关系是积极的，强大的和稳定的时间。重要的是，我们表明，原料的价格导致乙醇的价格，而不是相反。记录了短期和长期范围内的原料价格领先。我们的定性结果仍然成立，即使当原油价格的影响是占利用部分小波相干方法。
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.