  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.
