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Non-parametric and Parametric Modeling of Biodiesel - Sunflower Oil - Crude Oil Price Relationships

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  • Hassouneh, Islam
  • Serra, Teresa
  • Gil, Jose Maria

Abstract

Multivariate local linear regression and parametric error correction models are applied to assess price linkages and price transmission patterns between food and energy prices in Spain. Weekly biodiesel, sunflower and crude oil prices observed from November 2006 to October 2010 are used in the empirical analysis. Results suggest the existence of a long-run equilibrium relationship between the three prices studied. Biodiesel is the only variable that adjusts to deviations from this long-run parity. Local linear regression techniques show that the speed of adjustment of biodiesel prices is higher when biodiesel is cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through the short-run price dynamics.

Suggested Citation

  • Hassouneh, Islam & Serra, Teresa & Gil, Jose Maria, 2011. "Non-parametric and Parametric Modeling of Biodiesel - Sunflower Oil - Crude Oil Price Relationships," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114554, European Association of Agricultural Economists.
  • Handle: RePEc:ags:eaae11:114554
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    References listed on IDEAS

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    Cited by:

    1. Hamulczuk, Mariusz & Łopaciuk, Wiesław, 2013. "Price linkage between milling and feed wheat prices in Poland and Germany," Problems of World Agriculture / Problemy Rolnictwa Åšwiatowego, WydziaÅ‚ Nauk Ekonomicznych, Uniwersytet Warszawski, vol. 13(28).
    2. Peri, Massimo & Baldi, Lucia, 2013. "The effect of biofuel policies on feedstock market: Empirical evidence for rapeseed oil prices in EU," Resource and Energy Economics, Elsevier, vol. 35(1), pages 18-37.

    More about this item

    Keywords

    Price transmission; local linear regression; biodiesel; Spain; Demand and Price Analysis; Resource /Energy Economics and Policy;

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