Asymmetric Spillover Effects Between Agricultural Commodity Prices and Biofuel Energy Prices

Authors

  • Nicholas Apergis University of Piraeus
  • Sofia Eleftheriou University of Piraeus
  • Dimitrios Voliotis University of Piraeus

Abstract

This study addresses the problem of causal price relationships of biofuels for an enhanced group of agricultural commodities to capture possible asymmetric causal effects. It investigates the long-run equilibrium and assumes that an adjustment process toward this equilibrium exists. The adjustment process can be non-linear, implying that we can identify critical thresholds that determine regions in the sample that once exceeded, price inter linkages may vary. The empirical results indicate that there are commodity prices that have strong causal (asymmetric) relationship with biofuel energy prices.Keywords: Biofuels energy prices; agricultural prices; asymmetric cointegration; asymmetric causalityJEL Classification: Q16

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Author Biographies

Nicholas Apergis, University of Piraeus

Professor, Banking and Financial Management

Sofia Eleftheriou, University of Piraeus

Business Administration, Postdoc

Dimitrios Voliotis, University of Piraeus

Assistant Professor, Banking & Financial Management

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Published

2017-01-17

How to Cite

Apergis, N., Eleftheriou, S., & Voliotis, D. (2017). Asymmetric Spillover Effects Between Agricultural Commodity Prices and Biofuel Energy Prices. International Journal of Energy Economics and Policy, 7(1), 166–177. Retrieved from https://mail.econjournals.com/index.php/ijeep/article/view/3637

Issue

Vol. 7 No. 1 (2017)

Section

Articles

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