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_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.
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