Biodiesel and vegetable oil market in European Union: some evidences from threshold cointegration analysis

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.Vegetable oils market, Biodiesel price, Threshold cointegration., Marketing, Resource /Energy Economics and Policy,

Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion

We provide Large Deviation estimates for the bridge of a $d$-dimensional general diffusion process as the conditioning time tends to $0$ and apply these results to the evaluation of the asymptotics of its exit time probabilities. We are motivated by applications to numerical simulation, especially in connection with stochastic volatility models.Comment: 15 pages, 2 figure

Voluntary Traceability and Transaction Costs: An Empirical Analysis in the Italian Meat Processing Supply Chain

This paper analyses voluntary traceability effects on the coordination of the food supply chain from the transaction cost perspective. The analysis concerns Italian firms and makes particular reference to the meat sector. A survey was conducted by questionnaire to assess the changes in key transaction factors and costs after the introduction of traceability. The results underline an increase in the degree of human, material and site asset specificity, and reveal a reduction in the degree of uncertainty in transactions. Growth in some transaction costs related to monitoring is also observed. Factorial and cluster analysis were used to underline the different organisational solutions of the firms.traceability, trust, transaction cost, vertical relationships, meat chain, Agribusiness, Livestock Production/Industries,

A robust multivariate long run analysis of European electricity prices

This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of our robust multivariate long run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of long term dynamics among electricity prices and between electricity prices and gas prices may prove to be important for long term hedging operations to be conducted even in countries where well established and liquid electricity derivatives markets are not present. Since standard unit root and cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we adapt and further develop a battery of robust inference procedures that should assure the reliability of our results.European electricity prices, Cointegration, Interdependencies, Equilibrium Correction model, Oil prices, Robustness

Deregulated Wholesale Electricity Prices in Europe

This paper analyses the interdependencies existing in the European electricity prices. The results of a multivariate dynamic analysis of weekly median prices reveal the presence of strong integration (but not perfect integration) among the markets considered in the sample and the existence of a common trend among electricity prices and oil prices. This implies that there are no long-run arbitrage opportunities. The latter result appears to be relevant also in the context of the discussion of efficient hedging instruments to be used by medium-long term investors.European electricity prices, Cointegration, Interdependencies, Equilibrium Correction model, Oil prices

A Robust Multivariate Long Run Analysis of European Electricity Prices

This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.European Electricity Prices, Cointegration, Interdependencies, Equilibrium Correction Model, Oil Prices

Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation

This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) subperiods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that many factors contributed to the 2007-2008 food price increase

Information Demand and Agriculture Commodity Prices

This paper investigates the effect of information flow on corn futures price variability for the period January 2004 -July 2011. The theoretical framework is the Mixture Distribution Hypothesis, that posits a joint dependence of return volatility and information. The main contribution of this article is that we use two different proxy for the observed component of information flow that allow to separate the effect of supply (News) and demand (Internet Search Volume) of information.Empirical estimates highlight that: i) results support the MDH since observed volatility persistence appears to be related to the information flow; ii) variation in information demand has a significant effect on volatility of futures corn returns even controlling for variation in information supply and such result can be interpreted in light of behavioural finance

Is Wine a Financial Parachute?

This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the following results: i) in more mature markets, like France and the US, the presence of a threshold in the relationship between wine index and composite index permit informed investors to make gainful investments; ii) in less mature markets, like Chile and China, there is evidence suggest that wine is not used as a financial parachute

Worldwide Evidences in the Relationships between Agriculture, Energy and Water Sectors

Water, food and energy (WFE) are strongly interconnected: each depends on the other for a lot of concerns, spanning from guaranteeing access to services, to environmental, social and ethical impact issues, to price relations.The development, use, and waste generated by demand for these resources drive global changes and fears of resource scarcity. To date, a new approach to the concept of sustainable development is emerging and a joint analysis of these three areas is needed. “Demand for water, food and energy is expected to rise by 30-50% in the next two decades, while economic disparities incentivize short-term responses in production and consumption that undermine long-term sustainability. Shortages could cause social and political instability, geopolitical conflict and irreparable environmental damages. Any strategy that focuses on one part of the WFE relationships without considering its interconnections risks serious unintended consequences” (World Economic Forum, 2011).In the last years international organizations have organized several conferences to raise awareness of the WFE nexus (IISD 2011, footnote p.6) and some studies have addressed this issue trying to provide a theoretical integrated view aimed at understanding how to tackle these complex relationships when identifying policies and actions (Brazilian et al. 2011, Elobeid et al. 2013, Howells et al. 2013). These studies have analyzed the technical connection that exists between the three elements in order to highlight the need for joint policy designed to ensure a sustainable development. From an economic point of view, there are still very few analysis that utilize empirical approaches to support recent theoretical literature (Peterson et al. 2014, Curmi et al. 2013).This area is clearly massive and an economic analysis of the link aimed at understanding the interactions and correlations on a global scale is still needed. Such an analysis can be conducted using price relationships