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

Sammanfattning: 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.