Energy and vegetable oils : a price transmission network

• Autores: Ahlsén Berg, Fredrik
• Año de publicación: 2015
• Idioma: inglés
• Tipo de recurso: tesis de maestría
• Colaborador/a o director/a de tesis: Cortina, Elsa
• Materia: 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.
• Institución: Universidad de San Andrés

Fil: Ahlsén Berg, Fredrik. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
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.