Food–energy nexus in Europe: Price volatility approach

Fadi Abdelradi and Teresa Serra

Energy Economics, 2015, vol. 48, issue C, 157-167

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.

Keywords: Price volatility; Multivariate GARCH; Biofuels; Semiparametric (search for similar items in EconPapers)
JEL-codes: C5 Q1 Q4 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:48:y:2015:i:c:p:157-167

DOI: 10.1016/j.eneco.2014.11.022

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