Biodiesel and vegetable oil market in European Union: some evidences from threshold cointegration analysis
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In this paper we analyse the long-run
relationships between vegetable oils prices and
conventional diesel price in EU during the period 2005-
2007. We utilise recent developments on threshold
cointegration approach to investigate if asymmetric
dynamic adjusting processes exist among rapeseed oil,
sunflower oil, soybean oil and diesel prices. The results
suggest that the two-regime threshold cointegration
model exist only in favour of rapeseed oil-diesel price
pair. Therefore, this vegetable oil price adjusts rapidly
to its long run equilibrium, determined by fossil diesel
prices, in an asymmetric manner when the divergence
between the two prices is above a critical threshold.
Consequently, rapeseed oil seems to be particularly
exposed to exogenous shocks deriving from global
political scenarios, suggesting to redefine the high quota
(80%) of EU biodiesel produced by this vegetable oil
through a sustainable development of international
trade.