Price relations in energy and agricultural markets: The case of Malaysian biodiesel and palm oil
(2017) NEKN01 20171Department of Economics
- Abstract
- This thesis analyses price relations in Malaysian energy and agricultural markets. In partic- ular interactions among prices for biodiesel, palm oil and crude oil were studied. The levels of the series are modeled by a standard vector autoregression set-up in combination with an impulse response analysis. A multivariate GARCH was utilized for identifying possible correlations among the volatilities. Results confirm a link between palm oil and biodiesel prices. Shocks are transmitted only on a small scale and are not persistent. The correlation among volatilities is found to be low but positive and significant. Overall the results demon- strate that caution about interdependencies in Malaysia’s palm oil and biofuel industry is advisable.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8923928
- author
- Müller, Lena Sophia LU
- supervisor
-
- Emre Aylar LU
- organization
- course
- NEKN01 20171
- year
- 2017
- type
- H1 - Master's Degree (One Year)
- subject
- language
- English
- id
- 8923928
- date added to LUP
- 2017-09-12 11:53:47
- date last changed
- 2017-09-12 11:53:47
@misc{8923928, abstract = {{This thesis analyses price relations in Malaysian energy and agricultural markets. In partic- ular interactions among prices for biodiesel, palm oil and crude oil were studied. The levels of the series are modeled by a standard vector autoregression set-up in combination with an impulse response analysis. A multivariate GARCH was utilized for identifying possible correlations among the volatilities. Results confirm a link between palm oil and biodiesel prices. Shocks are transmitted only on a small scale and are not persistent. The correlation among volatilities is found to be low but positive and significant. Overall the results demon- strate that caution about interdependencies in Malaysia’s palm oil and biofuel industry is advisable.}}, author = {{Müller, Lena Sophia}}, language = {{eng}}, note = {{Student Paper}}, title = {{Price relations in energy and agricultural markets: The case of Malaysian biodiesel and palm oil}}, year = {{2017}}, }