Non-parametric and Parametric Modeling of Biodiesel - Sunflower Oil - Crude Oil Price Relationships

Islam Hassouneh, Teresa Serra and Jose Maria Gil

No 114554, 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland from European Association of Agricultural Economists

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

Keywords: Demand and Price Analysis; Resource/Energy Economics and Policy (search for similar items in EconPapers)
Pages: 13
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae11:114554

DOI: 10.22004/ag.econ.114554

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