Tesis
Energy and vegetable oils : a price transmission network
Author
Cortina, Elsa
Institutions
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.