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Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil

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  • Yahya, Muhammad
  • Dutta, Anupam
  • Bouri, Elie
  • Wadström, Christoffer
  • Uddin, Gazi Salah

Abstract

Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and rapeseed oil is understudied and unclear. In this paper, we address this gap by utilizing asymmetric copulas and cross-quantilogram approaches on daily data. The results of the DCC-Student-t copula indicate that during bearish periods the conditional connectedness between crude oil prices and biodiesel (rapeseed oil) prices are stronger than during bullish periods, indicating increased co-movement with a decline in crude oil prices. The application of cross-quantilogram indicates that an increase in crude oil price positively influences biodiesel prices reflecting an asymmetric dependence structure among the assets. There is evidence of shifts in the dynamics of quantile dependency during periods of financial and economic turmoil. Overall, the results show a significant dependence between the global crude oil market and the European markets of biodiesel and rapeseed oil in specific periods and under specific market conditions, which have important implications for policymakers and investors.

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  • Yahya, Muhammad & Dutta, Anupam & Bouri, Elie & Wadström, Christoffer & Uddin, Gazi Salah, 2022. "Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil," Renewable Energy, Elsevier, vol. 197(C), pages 594-605.
    • Handle: RePEc:eee:renene:v:197:y:2022:i:c:p:594-605
    DOI: 10.1016/j.renene.2022.07.112
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    Cited by:

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    2. Genii Kuznetsov & Vadim Dorokhov & Ksenia Vershinina & Susanna Kerimbekova & Daniil Romanov & Ksenia Kartashova, 2023. "Composite Liquid Biofuels for Power Plants and Engines: Review," Energies, MDPI, vol. 16(16), pages 1-20, August.
    3. Kliber, Agata & Łęt, Blanka & Řezáč, Pavel, 2024. "Can a boost in oil prices suspend the evolution of the green transportation market? Relationships between green indices and Brent oil," Energy, Elsevier, vol. 295(C).
    4. Wang, Erhong & Gozgor, Giray & Mahalik, Mantu Kumar & Patel, Gupteswar & Hu, Guoheng, 2022. "Effects of institutional quality and political risk on the renewable energy consumption in the OECD countries," Resources Policy, Elsevier, vol. 79(C).
    5. de Paula Leite, Ana Catarina & Pimentel, Liliana Marques & de Almeida Monteiro, Leandro, 2024. "Impact of agricultural and energy prices on the biofuels market through a VAR-VEC model," Renewable Energy, Elsevier, vol. 232(C).

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    More about this item

    Keywords

    Crude oil; Biodiesel; Rapeseed oil; Europe; Copula dynamic correlations; Cross quantile dependence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q16 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - R&D; Agricultural Technology; Biofuels; Agricultural Extension Services
    • Q21 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Demand and Supply; Prices
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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