Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships

Islam Hassouneh; Teresa Serra; Barry K. Goodwin; José M. Gil

doi:10.1016/j.eneco.2012.06.027

Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships

Islam Hassouneh, Teresa Serra, Barry K. Goodwin, José M. Gil

Research output: Contribution to journal › Article › peer-review

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 relationship. Local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through short-run price dynamics.

Original language	English (US)
Pages (from-to)	1507-1513
Number of pages	7
Journal	Energy Economics
Volume	34
Issue number	5
DOIs	https://doi.org/10.1016/j.eneco.2012.06.027
State	Published - Sep 2012
Externally published	Yes

Keywords

Biodiesel
Local linear regression
Price transmission
Spain

ASJC Scopus subject areas

Economics and Econometrics
General Energy

Online availability

10.1016/j.eneco.2012.06.027

Library availability

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title = "Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships",

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 relationship. Local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through short-run price dynamics.",

keywords = "Biodiesel, Local linear regression, Price transmission, Spain",

author = "Islam Hassouneh and Teresa Serra and Goodwin, {Barry K.} and Gil, {Jos{\'e} M.}",

note = "Funding Information: The authors gratefully acknowledge financial support from the Instituto Nacional de Investigaciones Agr{\'i}colas (INIA) and the European Regional Development Fund (ERDF) , Plan Nacional de Investigaci{\'o}n Cient{\'i}fica, Desarrollo e Innovaci{\'o}n Tecnol{\'o}gica (I + D + i), Project Reference Number RTA2009-00013-00-00 . ",

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doi = "10.1016/j.eneco.2012.06.027",

language = "English (US)",

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pages = "1507--1513",

journal = "Energy Economics",

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T1 - Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships

AU - Hassouneh, Islam

AU - Serra, Teresa

AU - Goodwin, Barry K.

AU - Gil, José M.

N1 - Funding Information: The authors gratefully acknowledge financial support from the Instituto Nacional de Investigaciones Agrícolas (INIA) and the European Regional Development Fund (ERDF) , Plan Nacional de Investigación Científica, Desarrollo e Innovación Tecnológica (I + D + i), Project Reference Number RTA2009-00013-00-00 .

PY - 2012/9

Y1 - 2012/9

N2 - 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 relationship. Local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through short-run price dynamics.

AB - 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 relationship. Local linear regression techniques show that the speed of adjustment of biodiesel prices is faster when biodiesel is relatively cheap than when it is expensive. Energy prices are also found to influence sunflower oil prices through short-run price dynamics.

KW - Biodiesel

KW - Local linear regression

KW - Price transmission

KW - Spain

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JO - Energy Economics

JF - Energy Economics

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ER -

Non-parametric and parametric modeling of biodiesel, sunflower oil, and crude oil price relationships

Abstract

Keywords

ASJC Scopus subject areas

Online availability

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