Dynamic interdependence between ethanol and biofuel‐related agricultural commodities—cDCC‐FIAPARCH approach

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS
Dejan Živkov, Boris Kuzman, Papić‐Blagojević Nataša
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引用次数: 0

Abstract

Biofuel production is one of the key topics in today's world, which inevitably raises the question of the relationship between ethanol and agricultural commodities. The nexus between corn and ethanol is well known in the literature, but the link involving other biofuel feedstocks is relatively poorly explored. Therefore, this paper research the dynamic nexus between ethanol and five agricultural commodities using the cDCC‐FIAPARCH model, while two additional analyses complement the main results. Dynamic conditional correlation between ethanol and corn is the highest and reaches an average of 50%, while wheat and soybean follow with 31%. A rolling regression analysis reveals the relationship between conditional volatilities and conditional correlations, where the assets with lower conditional volatility have a more significant impact on conditional correlation. The findings may have several practical implications for agents working with ethanol and agricultural commodities, such as food security assessment, efficiency of supply chains and portfolio construction. [EconLit Citations: C61, O13, Q16].
乙醇与生物燃料相关农产品之间的动态相互依存关系--DDCC-FIAPARCH 方法
生物燃料生产是当今世界的重要话题之一,这就不可避免地提出了乙醇与农产品之间的关系问题。玉米与乙醇之间的关系在文献中众所周知,但涉及其他生物燃料原料的联系却相对较少。因此,本文利用 cDCC-FIAPARCH 模型研究了乙醇与五种农产品之间的动态关系,同时还对主要结果进行了两项补充分析。乙醇与玉米的动态条件相关性最高,平均达到 50%,其次是小麦和大豆,为 31%。滚动回归分析揭示了条件波动率和条件相关性之间的关系,其中条件波动率较低的资产对条件相关性的影响更为显著。研究结果可能会对从事乙醇和农产品工作的代理人产生一些实际影响,如粮食安全评估、供应链效率和投资组合构建。[经济学引文:C61, O13, Q16]。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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