Energy and vegetable oils : a price transmission network
Date
2015
Authors
Ahlsén Berg, Fredrik
relationships.isContributorOfPublication
Cortina, Elsa
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Escuela de Administración y Negocios.
Abstract
This thesis studies how energy and agricultural commodities are linked together and in particular how they form a network between each other. Cash traded commodities are substituted by their closest exchange traded alternative. The network is presented in the form of Minimal Spanning Trees and Hierarchical Trees. It is considered under various frequencies and periods that allow us to determine how the network is affected by those factors and what the implications are for a biofuels trader. It is shown that the networks form two clusters that are connected via soybean oil. An analysis is made on the effects of the food and financial crises on the energy and agricultural commodities used for the production of biodiesel. In this context, it is shown that the co-movement of energy and agricultural commodities increased during the crises period and that the network is denser after than before the crises. Finally, it is argued that substituting the cash markets with their closest exchange traded alternative does change the network’s dynamics.
Description
Fil: Ahlsén Berg, Fredrik. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
Keywords
Vegetable oils as fuel -- Prices -- Mathematical models. , Food prices -- Mathematical models. , Fuel -- Prices -- Mathematical models. , Aceite vegetal como combustible -- Precios -- Modelos matemáticos. , Alimentos -- Precios -- Modelos matemáticos. , Combustibles -- Precios -- Modelos matemáticos.
Citation
Ahlsén Berg, F. (2015). Energy and vegetable oils : a price transmission network. [Tesis de maestría, Universidad de San Andrés. Escuela de Administración y Negocios.]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/11713