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

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.


Issue Date:
2011
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/114741
Total Pages:
3




 Record created 2017-04-01, last modified 2017-04-26

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