EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS

Martin Ziegelback and Gregor Kastner

No 114741, 51st Annual Conference, Halle, Germany, September 28-30, 2011 from German Association of Agricultural Economists (GEWISOLA)

Abstract: For European operators of biofuels plants there are not many hedge vehicles available to hedge operational margins. Cross hedges for rapeoil (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 threeregime threshold cointegration model suitably explains the dynamics of the data.

Keywords: Agribusiness; Agricultural and Food Policy; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Environmental Economics and Policy; Farm Management; Financial Economics; Industrial Organization; Institutional and Behavioral Economics; Production Economics (search for similar items in EconPapers)
Pages: 3
Date: 2011
New Economics Papers: this item is included in nep-agr, nep-ene and nep-env
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:gewi11:114741

DOI: 10.22004/ag.econ.114741

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