Programme "Scientific projects"

Spillovers in means and volatility between food prices and biofuel energy prices

University of Piraeus Research Centre (UPRC)


This study investigates the dynamic short- and long-run relationships in means and in volatilities between 21 food prices and biofuel prices with daily data spanning the period 2005-2011. It makes use of panel cointegration and Granger causality. The empirical results provide evidence about the impact of food price changes on biofuel prices. It has also been planned to employ recent developments in the threshold cointegration to investigate the presence of any asymmetric dynamic adjusting processes between the two types of prices. These results are of high importance since the presence of asymmetries in the dynamic relationship will have substantial implications for agricultural oil crops, since biofuel markets, by reacting to food prices, are expected to closely monitor any developments in the food markets. Therefore, less asymmetries or lower volatility in renewable markets vis-à-vis volatility in non-renewable energy prices has repercussions on the security of global energy stocks as well as environmental policies.

Final Report


Nicholas Apergis, Professor and Director of the Department of Banking and Financial Management, University of Piraeus

Project's Team:

Sofia Eleftheriou, PhD Candidate, Department of Business Administration, University of Piraeus

Stella Bezergianni, Chemical Engineer PhD, Researcher, Lab of Environmental Fuels and Hydrocarbons, Centre for Research and Technology Hellas (CERTH)

Dimitrios Voliotis, Lecturer, Department of Banking and Financial Management, University of Piraeus

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