IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-04523660.html
   My bibliography  Save this paper

On the dependence structure of European vegetable oil markets

Author

Listed:
  • Romain Menier

    (SAIPOL - Société Agro Industrielle de Patrimoine Oléagineux, Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

  • Guillaume Bagnarosa

    (UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

  • Alexandre Gohin

    (SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

Abstract

In light of current high and volatile energy and food prices, we examine the daily dynamics of the conditional variance-covariance matrix and price discovery in European vegetable oils. We find that energy prices chiefly influence vegetable oil trends, while stock-to-use ratios significantly impact variance-covariance dynamics when considering their specific cold filter plugging point (CFPP). This technical detail robustly demonstrates interplays among vegetable oils based on economic principles of complementarity and substitutability, even amid the pandemic and the Russian-Ukrainian conflict. Moreover, both marginal distributions and volatility dependence structures relate to distinct economic fundamentals, enhancing our understanding of the market's complexity.

Suggested Citation

  • Romain Menier & Guillaume Bagnarosa & Alexandre Gohin, 2023. "On the dependence structure of European vegetable oil markets," Post-Print hal-04523660, HAL.
    • Handle: RePEc:hal:journl:hal-04523660
    DOI: 10.1080/00036846.2023.2275220
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-04523660. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.