Energy Prices and Agricultural Product Prices: An Empirical Study using the Quintile Cross-spectral Method

Yun-Jung Lee; Yeonjeong Lee; Seong-Min Yoon

doi:10.22794/keer.2021.20.2.002

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2021 Vol.20, Issue 2 Preview Page Next Page

Energy Prices and Agricultural Product Prices: An Empirical Study using the Quintile Cross-spectral Method 에너지 가격과 농산물 가격 사이의 연계성: 분위별 교차 스펙트럴 방법을 이용한 실증연구

30 September 2021. pp. 33-60

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Abstract

In this paper, we analyzed the relationship between the energy market and the agricultural products market using the quintile cross-spectral method. Our analysis used eight time series data; energy commodities(crude oil, ethanol), bio-energy raw crops(corn, soybean), non-raw food crops(rice, oats), and non-food crops(cotton, coffee). The main results of this study are as follows.

First, the correlation between food crop returns was relatively higher than that between food crops and other crops. In particular, the coherency between corn and soybean returns, which are raw materials for bio-fuels, was relatively high in all time scales in the short, medium and long term. Second, crude oil did not show a clear relationship with corn and soybeans, which are raw materials for bio-fuels. However, in the long run, the relationship between crude oil and non-energy food crops(rice and oats) was confirmed in a market situation with extremely low returns. Third, ethanol was found to have a relationship with corn and soybeans, which are raw materials for bio-fuels. Especially, the relationship between ethanol and corn, the raw material corp of bio-ethanol, was clearly confirmed at all time scales. Fourth, it is difficult to confirm a direct linkage between ethanol and crude oil market returns.

Keywords

energy price

bio-energy

agricultural product price

time-scale

quintile cross-spectral method

본 연구에서는 분위별 교차-스펙트럴 방법을 이용하여 에너지 시장과 농산물 시장 가격 움직임 사이의 상호 연계성을 분석하였다. 본 연구의 분석 대상은 에너지 상품(원유, 에탄올), 바이오 에너지의 원료 작물(옥수수, 대두), 비원료 식량 작물(쌀, 귀리), 비식량 작물(면화, 커피)로 총 8가지이다.

본 연구의 주요 결과는 다음과 같다. 첫째, 식량 작물 간 수익률 상관관계는 식량 작물과 타 작물 간의 수익률 상관관계보다 상대적으로 높게 나타났다. 특히 바이오 연료의 원료 작물인 옥수수와 대두 수익률 간의 유사도는 단기, 중기, 장기의 모든 시간 주기에서 상대적으로 높게 나타났다. 둘째, 원유의 경우 바이오 연료의 원료 작물인 옥수수, 대두와 전반적으로는 뚜렷한 연계를 보이지 않았다. 하지만 장기에서는 극단적으로 낮은 시장수익률 상황에서 쌀과 귀리 등 비원료 식량 작물과의 연계성이 확인되었다. 셋째, 에탄올의 경우 바이오 연료의 원료 작물인 옥수수, 대두와 연계성이 존재하는 것으로 나타났다. 특히 바이오 에탄올의 원료 작물인 옥수수와의 연계성은 단기, 중기, 장기에서 모두 뚜렷하게 확인되었다. 넷째, 에탄올과 원유 시장수익률 간의 직접적인 연계가 존재한다고 보긴 어렵다.

키워드

에너지 가격

바이오 연료

농산물 가격

시간척도

분위별 교차-스펙트럴 방법

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Information

Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
Publisher(Ko) :에너지경제연구원·한국자원경제학회
Journal Title :Korean Energy Economic Review
Journal Title(Ko) :에너지경제연구
Volume : 20
No :2
Pages :33-60
Received Date : 2021-01-28
Revised Date : 2021-03-25
Accepted Date : 2021-03-30
DOI :https://doi.org/10.22794/keer.2021.20.2.002

Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

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