生物燃料-燃料-食品系统的时频动力学
Time-Frequency Dynamics of Biofuels-Fuels-Food System
摘要：
我们首次将小波相干方法应用于生物燃料（乙醇和生物柴油）和各种相关商品（汽油，柴油，原油，玉米，小麦，大豆，甘蔗和菜籽油）。这样，我们就能够使用无模型方法研究时间和跨尺度（频率）的相关性动态。我们表明，相关性确实随时间和频率而变化。我们发现，在几乎整个分析期间（2003-2011年），两个高度相关的对在低频下紧密相连-乙醇与玉米和生物柴油与德国柴油。在粮食危机期间，相关性的结构发生了显着变化-更高的频率对上述两对都很重要。这意味着，在稳定时期，乙醇与玉米和生物柴油与德国柴油主要是在低频率，使他们遵循一个共同的长期趋势。然而，在危机时期，乙醇（生物柴油）是由玉米（德国柴油），即使在高频率（低规模），这意味着生物燃料的价格反应更迅速，其生产要素的变化。
英文摘要：
For the first time, we apply the wavelet coherence methodology on biofuels (ethanol and biodiesel) and a wide range of related commodities (gasoline, diesel, crude oil, corn, wheat, soybeans, sugarcane and rapeseed oil). This way, we are able to investigate dynamics of correlations in time and across scales (frequencies) with a model-free approach. We show that correlations indeed vary in time and across frequencies. We find two highly correlated pairs which are strongly connected at low frequencies - ethanol with corn and biodiesel with German diesel - during almost the whole analyzed period (2003-2011). Structure of correlations remarkably changes during the food crisis - higher frequencies become important for both mentioned pairs. This implies that during stable periods, ethanol is correlated with corn and biodiesel is correlated with German diesel mainly at low frequencies so that they follow a common long-term trend. However, in the crisis periods, ethanol (biodiesel) is lead by corn (German diesel) even at high frequencies (low scales), which implies that the biofuels prices react more rapidly to the changes in their producing factors.
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