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Advisor(s)
Abstract(s)
Brazil is one of the largest global producers and exporters of ethanol and in 2017 launched
RenovaBio, a programme aiming to mitigate greenhouse gas emissions. In parallel to this domestic
scenario, there is rapid growth in the world market of carbon production, as well as complex price
relations between fossil and renewable energies becoming increasingly important in recent years.
The present work aims to contribute to filling a gap in knowledge about the relationship between
Brazilian ethanol and other relevant energy-related commodities. We use a recent methodology
(Detrended Cross-Correlation Approach—DCCA—with sliding windows) to analyze dynamically
the cross-correlation levels between Brazilian ethanol prices and carbon emissions, as well as other
possible-related prices, namely: sugar, Brent oil, and natural gas prices, with a sample of daily prices
between January 2010 and July 2020. Our results indicate that (i) in the whole period, Brazilian
ethanol has significant correlations with sugar, moderate correlation with oil in the short term,
and only a weak, short-term correlation with carbon emission prices; (ii) with a sliding windows
approach, the strength of the correlation between ethanol and carbon emissions varies between weak
and non-significant in the short term.
Description
Keywords
Brazilian ethanol prices carbon emission prices detrended cross-correlation analysis sliding windows approach
Citation
Publisher
MDPI