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European Rapeseed And Fossil Diesel: Threshold Cointegration Analysis And Possible Implications

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  • Ziegelback, Martin
  • Kastner, Gregor

Abstract

For European operators of biofuels plants there are not many hedge vehicles available to hedge operational margins. Cross hedges for rapeoil (with the rapeseed futures contract) and RME (with the NYMEX diesel futures contract) could be useful instruments. We use recent developments on threshold cointegration approaches to investigate if asymmetric dynamic adjusting processes exist among rapeseed and diesel prices. The results suggest that a threeregime threshold cointegration model suitably explains the dynamics of the data.

Suggested Citation

  • Ziegelback, Martin & Kastner, Gregor, 2011. "European Rapeseed And Fossil Diesel: Threshold Cointegration Analysis And Possible Implications," 51st Annual Conference, Halle, Germany, September 28-30, 2011 114741, German Association of Agricultural Economists (GEWISOLA).
  • Handle: RePEc:ags:gewi11:114741
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    File URL: http://purl.umn.edu/114741
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    Cited by:

    1. Kristoufek, Ladislav & Janda, Karel & Zilberman, David, 2012. "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective," Energy Economics, Elsevier, vol. 34(5), pages 1380-1391.
    2. Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2011. "Biofuels: Review of Policies and Impacts," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5v1112qr, Department of Agricultural & Resource Economics, UC Berkeley.
    3. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
    4. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2016. "Contemporaneous interactions among fuel, biofuel and agricultural commodities," Energy Economics, Elsevier, vol. 58(C), pages 1-10.

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