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Provedor de dados:  AgEcon
País:  United States
Título:  EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS
Autores:  Ziegelback, Martin
Kastner, Gregor
Data:  2011-09-07
Ano:  2011
Palavras-chave:  Hedging
Rapeseed
Heating Oil
Threshold cointegration analysis
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
Resumo:  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.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Identificador:  http://purl.umn.edu/114741
Relação:  German Association of Agricultural Economists (GEWISOLA)>51st Annual Conference, Halle, Germany, September 28-30, 2011
Formato:  3
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