Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis
| Autor: | Hung Xuan Do, Akram Hasanov, Mohammed Sharaf Shaiban |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
Biodiesel Rapeseed business.industry 020209 energy 05 social sciences Fossil fuel 02 engineering and technology Raw material Shock (economics) General Energy Granger causality 0502 economics and business 0202 electrical engineering electronic engineering information engineering Econometrics Economics media_common.cataloged_instance 050207 economics Volatility (finance) European union business health care economics and organizations media_common |
| Zdroj: | Energy Economics. 57:16-27 |
| ISSN: | 0140-9883 |
| DOI: | 10.1016/j.eneco.2016.04.015 |
| Popis: | This paper focuses on examining the impact of crude oil price volatility on the price changes of major edible oils (rapeseed, soybean, and sunflower), which are the main feedstock for the biodiesel industry in the European Union. For this purpose, a four-variate version of non-diagonal GARCH-in-mean model that allows for asymmetry in the variance–covariance matrix is used. An important conclusion that emerges from this study is that the crude oil price uncertainty appears to be responsible for a significant decline in price returns of major feedstock edible oils considered in this study. The volatility impulse response analyses support the conclusion that the conditional variances of both edible and crude oil and covariances between them are generally highly responsive to historical shock. However, the size of the impacts is mainly commodity specific. Finally, we investigate the causality from crude oil price volatility to edible oil prices and the effects of oil price shocks on edible oil prices by using the Granger causality test and generalized impulse response function analysis, respectively. The empirical results show that there is strong evidence of causality from crude oil price volatility to all edible oil prices under study, and generalized impulse response analysis shows that the edible oil markets significantly respond to the shocks in oil prices. |
| Databáze: | OpenAIRE |
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