Structural Change Detection in China's Oil-Bioenergy Crops Prices System: A Taxonomy Perspective

摘要

We detect the structural change in China's oil-bioenergy crops prices system before and during the food crisis of 2007/2008 and financial crisis 2008/2010. In the recent years, rising world crude oil prices lead to increase of bioenergy production around the world. Bioenergy, in turn, affects bioenergy crops price, because it uses these commodities as inputs. We develop a hybrid neural network approach which can test the structural change of the linkages without priori knowledge of the input data distribution. And then we studies price linkages applying the hybrid neural network to four major bioenergy crops futures prices, including soybean, corn, wheat and sugar, along with China's fuel oil futures price. The data consists of 1440 observations from January 2006 to January 2012. The empirical findings confirm that the structures of China's oil-bioenergy crops prices system change observably during the food crisis and the financial crisis. Our model may be a succedaneum of the Markov regime switching model.