期刊
RENEWABLE ENERGY
卷 197, 期 -, 页码 594-605出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.renene.2022.07.112
关键词
Crude oil; Biodiesel; Rapeseed oil; Europe; Copula dynamic correlations; Cross quantile dependence
This study examines the dependence structure between biodiesel and rapeseed oil prices in Europe and global crude oil prices using asymmetric copulas and cross-quantilogram approaches. The results indicate stronger conditional connectedness between biodiesel and rapeseed oil prices with crude oil prices during bearish periods. The study also finds evidence of an asymmetric dependence structure between crude oil price and biodiesel prices, where an increase in crude oil price positively influences biodiesel prices. The dynamics of quantile dependency between these assets also change during periods of financial and economic turmoil.
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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