Quotation Ziegelbäck, Martin, Kastner, Gregor. 2012. European rapeseed and fossil diesel: threshold cointegration analysis and possible implications. In Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V., Band 47: Unternehmerische Landwirtschaft zwischen Marktanforderungen und gesellschaftlichen Erwartungen, Hrsg. Alfons Balmann, Thomas Glauben, Marten Graubner, Michael Grings, Norbert Hirschauer, Franziska Schaft, Peter Wagner, 439-444. Münster: Landwirtschaftsverlag GmbH.


RIS


BibTeX

Abstract

In this paper we analyze the long-run relationships between Rapeseed prices at Euronext Paris and the conventional NYMEX diesel prices during the period 2005 to 2010. For the European operators of biofuels plants there are not many hedge vehicles available to hedge their input and output factors. Cross hedges for rape oil (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 three-regime threshold cointegration model suitably explains the dynamics of the data. We demonstrate with statistical significance that - in extreme situations where Rapeseed price is low compared to Heating Oil - Heating Oil adjusts Rapeseed to its long term equilibrium more strongly and faster than in the remaining periods.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Contribution to conference proceedings
Language English
Title European rapeseed and fossil diesel: threshold cointegration analysis and possible implications
Title of whole publication Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e. V., Band 47: Unternehmerische Landwirtschaft zwischen Marktanforderungen und gesellschaftlichen Erwartungen
Editor Alfons Balmann, Thomas Glauben, Marten Graubner, Michael Grings, Norbert Hirschauer, Franziska Schaft, Peter Wagner
Page from 439
Page to 444
Location Münster
Publisher Landwirtschaftsverlag GmbH
Year 2012
ISBN 978-3-7843-5226-8
URL http://www.gewisola.de/schriftenreihe.html

Associations

People
Kastner, Gregor (Details)
External
Ziegelbäck, Martin (Universität für Bodenkultur Wien, Austria)
Organization
Institute for Statistics and Mathematics IN (Details)
Google Scholar: Search