Advanced

Price relations in energy and agricultural markets: The case of Malaysian biodiesel and palm oil

Müller, Lena Sophia LU (2017) NEKN01 20171
Department 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:
author
Müller, Lena Sophia LU
supervisor
organization
course
NEKN01 20171
year
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},
}