Biodiesel and vegetable oil market in European Union: some evidences from threshold cointegration analysis
In this paper we analyse the long-run relationships between vegetable oils prices and conventional diesel price in EU during the period 2005- 2007. We utilise recent developments on threshold cointegration approach to investigate if asymmetric dynamic adjusting processes exist among rapeseed oil, sunflower oil, soybean oil and diesel prices. The results suggest that the two-regime threshold cointegration model exist only in favour of rapeseed oil-diesel price pair. Therefore, this vegetable oil price adjusts rapidly to its long run equilibrium, determined by fossil diesel prices, in an asymmetric manner when the divergence between the two prices is above a critical threshold. Consequently, rapeseed oil seems to be particularly exposed to exogenous shocks deriving from global political scenarios, suggesting to redefine the high quota (80%) of EU biodiesel produced by this vegetable oil through a sustainable development of international trade.
|Date of creation:||2008|
|Contact details of provider:|| Web page: http://www.eaae.org|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996.
"Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,"
1996_07, York University, Department of Economics.
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
- Balke, Nathan S. & Fomby, Thomas B., 1992.
9209, Federal Reserve Bank of Dallas.
- In, Francis & Inder, Brett, 1997. "Long‐run Relationships Between World Vegetable Oil Prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(4), pages -, December.
- William Perkins & J. Richardson, 1990. "Correspondence," The Review of Black Political Economy, Springer;National Economic Association, vol. 19(1), pages 91-91, June.
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometric Society, vol. 64(2), pages 413-430, March.
- Tom Doan, "undated". "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- G. R. Griffith & Karl D. Meilke, 1979. "Relationships among North American Fats and Oils Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(2), pages 335-341.
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, "undated". "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
- Yu, Tun-Hsiang (Edward) & Bessler, David A. & Fuller, Stephen W., 2006. "Cointegration and Causality Analysis of World Vegetable Oil and Crude Oil Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21439, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Campiche, Jody L. & Bryant, Henry L. & Richardson, James W. & Outlaw, Joe L., 2007. "Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9881, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
When requesting a correction, please mention this item's handle: RePEc:ags:eaae08:43971. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.