Volatility spillover between crude oil and Brazilian biodiesel feedstock

• Ano de defesa: 2024
• Autor(a) principal: Oliveira, Otávio Rodrigues Hermogenes de
• Orientador(a): Mendes, Eduardo Fonseca
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Transmissão de volatilidade; Biodiesel
• Palavras-chave em Inglês: Volatility spillover; VAR-GARCH; Biodiesel feedstock
• Link de acesso: https://hdl.handle.net/10438/34906

Brazil has emerged as a significant producer of biodiesel in the past decade, resulting in a fundamental transformation of vegetable oil consumption. More specifically, soybean oil, which represents about 80% of the country’s annual vegetable oil production, has experienced a notable transition from being primarily utilized for food consumption to being utilized as fuel, accounting for nearly half of its usage. This development carries implications for the potential impact of energy sector volatility on the food industry. Studies have shown that the prices of vegetable oil in the United States and Europe have become cointegrated to crude oil prices. However, there is limited understanding regarding the Brazilian market and the extent to which volatility spills over between the two sectors. In this article, we measure volatility spillover between international crude oil market and Brazilian biodiesel feedstock. We account for structural variations in data by splitting our weekly returns in two: from May 2000 to December 2007 and from January 2008 to December 2022. We find no evidence of volatility spillover prior 2008, but we evidence of volatility spilling over from crude oil to soybean oil after 2008.