Food-energy nexus in Europe: Price volatility approach

Fadi Abdelradi, Teresa Serra

Research output: Contribution to journalArticlepeer-review

Abstract

The literature on food-biofuel price volatility spillovers is growing. Published articles so far have widely ignored nonlinearities and the influence of exogenous variables on volatility patterns. This article allows for these issues when characterizing EU biodiesel industry price dynamics. While Brazilian and US ethanol markets have been thoroughly investigated, less attention has been paid to EU biodiesel markets. Pure EU biodiesel and rapeseed oil prices are the object of our research. Two different methods are applied to model these data: a parametric approach and Long et al.'s (2011) semiparametric approach. Empirical results suggest significant asymmetries in volatility spillovers between pure biodiesel and rapeseed oil prices. Rapeseed stock levels and euro/dollar exchange rates are found to play a significant role in reducing food and biofuel price volatilities.

Original languageEnglish (US)
Pages (from-to)157-167
Number of pages11
JournalEnergy Economics
Volume48
DOIs
StatePublished - Mar 1 2015

Keywords

  • Biofuels
  • C5
  • Multivariate GARCH
  • Price volatility
  • Q1
  • Q4
  • Semiparametric

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Fingerprint

Dive into the research topics of 'Food-energy nexus in Europe: Price volatility approach'. Together they form a unique fingerprint.

Cite this