On the dependence structure of European vegetable oil markets

Romain Menier, Guillaume Bagnarosa () and Alexandre Gohin ()
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Romain Menier: SAIPOL - Société Agro Industrielle de Patrimoine Oléagineux, Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement
Guillaume Bagnarosa: UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, ESC [Rennes] - ESC Rennes School of Business
Alexandre Gohin: SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement

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Abstract: In light of current high and volatile energy and food prices, we examine the daily dynamics of the conditional variance-covariance matrix and price discovery in European vegetable oils. We find that energy prices chiefly influence vegetable oil trends, while stock-to-use ratios significantly impact variance-covariance dynamics when considering their specific cold filter plugging point (CFPP). This technical detail robustly demonstrates interplays among vegetable oils based on economic principles of complementarity and substitutability, even amid the pandemic and the Russian-Ukrainian conflict. Moreover, both marginal distributions and volatility dependence structures relate to distinct economic fundamentals, enhancing our understanding of the market's complexity.

Keywords: Vegetable oil; Price discovery; Volatility (search for similar items in EconPapers)
Date: 2024
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Published in Applied Economics, 2024, 56 (52), pp.6611-6630. ⟨10.1080/00036846.2023.2275220⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04523660

DOI: 10.1080/00036846.2023.2275220

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