Examining the multiscale interrelationship between ethanol and agricultural commodities
2025
Kuzman, Boris | Živkov, Dejan | Andrejević Panić, Andrea
This paper investigates the multiscale interdependence between ethanol and three agricultural commodities—corn, wheat, and soybeans—used as feedstock for ethanol production. Two wavelet approaches are applied in the analysis: wavelet coherence and wavelet cross-correlation. The first method reveals the strength of the connection, while the second indicates the leading (or lagging) interconnec tion between assets. According to the wavelet coherence results, the link between ethanol and agricultural commodities is relatively weak in the short term but pro gressively strengthens as the time horizon increases. In the short-term horizon, the strongest link is observed between ethanol and corn. Wavelet cross-correlation indicates that the short-term connection is only relevant for ethanol and corn due to their relatively strong short-term relationship. Conversely, all long-term inter dependencies are relevant since strong correlations are found at higher wavelet scales. According to the results, larger agricultural markets tend to lead the small er ethanol market in most cases.
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书目信息
出版者 Institute of Agricultural Economics, Belgrade, Serbia