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On the dependence structure of European vegetable oil markets

Author

Listed:
  • Romain Menier

    (SAIPOL - Société Agro Industrielle de Patrimoine Oléagineux, Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

  • Guillaume Bagnarosa

    (UR - Université de Rennes, SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement, ESC [Rennes] - ESC Rennes School of Business)

  • Alexandre Gohin

    (SMART - Structures et Marché Agricoles, Ressources et Territoires - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement - Institut Agro Rennes Angers - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

Abstract
In light of current high and volatile energy and food prices, we examine the daily dynamics of the conditional variance-covariance matrix and price discovery in European vegetable oils. We find that energy prices chiefly influence vegetable oil trends, while stock-to-use ratios significantly impact variance-covariance dynamics when considering their specific cold filter plugging point (CFPP). This technical detail robustly demonstrates interplays among vegetable oils based on economic principles of complementarity and substitutability, even amid the pandemic and the Russian-Ukrainian conflict. Moreover, both marginal distributions and volatility dependence structures relate to distinct economic fundamentals, enhancing our understanding of the market's complexity.

Suggested Citation

  • Romain Menier & Guillaume Bagnarosa & Alexandre Gohin, 2024. "On the dependence structure of European vegetable oil markets," Post-Print hal-04523660, HAL.
  • Handle: RePEc:hal:journl:hal-04523660
    DOI: 10.1080/00036846.2023.2275220
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    References listed on IDEAS

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