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In this thesis we study linkages between the volatilities of energy prices and agricultural commodity prices in Germany. We investigate whether linkages exist and how they behave over time. To achieve this, weekly prices of biodiesel, crude oil and rapeseed are analyzed over a period from 2002 to 2012. Crude oil and rapeseed prices are first generic future prices traded at ICE futures Europe and LIFFE-Paris respectively. Biodiesel prices are German consumer prices at the pump. We apply a vector error correction model (VECM) in order to filter the data from long run comovement in the level of prices. Volatility and volatility linkages are analyzed using a dynamic conditional correlation (DCC) GARCH model as well as a multiplicative volatility model. We find that in the long run biodiesel prices adjust to crude oil and rapeseed prices. Furthermore, our analysis reveals that the volatility of biodiesel is only weakly linked to the volatility of crude oil and rapeseed. The linkage between the volatility of rapeseed and crude oil is increasing in recent years.

Volatility linkages between German biofuel prices and agricultural commodity prices