Tesis de Maestría en Finanzas

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Energy and vegetable oils : a price transmission network
(2015) Ahlsén Berg, Fredrik
This thesis studies how energy and agricultural commodities are linked together and_x000D_ in particular how they form a network between each other. Cash traded commodities_x000D_ are substituted by their closest exchange traded alternative. The network is presented_x000D_ in the form of Minimal Spanning Trees and Hierarchical Trees. It is considered under_x000D_ various frequencies and periods that allow us to determine how the network is_x000D_ affected by those factors and what the implications are for a biofuels trader. It is_x000D_ shown that the networks form two clusters that are connected via soybean oil. An_x000D_ analysis is made on the effects of the food and financial crises on the energy and_x000D_ agricultural commodities used for the production of biodiesel. In this context, it is_x000D_ shown that the co-movement of energy and agricultural commodities increased during_x000D_ the crises period and that the network is denser after than before the crises. Finally, it_x000D_ is argued that substituting the cash markets with their closest exchange traded_x000D_ alternative does change the network’s dynamics.