Skip to main content
SpringerLink
Log in

Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context

  • Conference paper
Modeling Dependence in Econometrics

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 251))

  • 1920 Accesses

Abstract

The increase in energy and food prices remains a challenge for the ASEAN Economic Community (AEC). Understanding the dependence between energy prices and food prices is imperative for the energy and food security for the people of the ASEAN countries. The C-vine copula model is a flexible tool to analyze the relationship between variables, in which the multivariate dependence modeling. It offers us to define the relationship structure between variables or we call pair-copula construction, according to the purpose of study. This study is interesting to examine an influence of crude oil price on palm oil price and soybeans price. The results can conclude that the change of crude oil price has influence on the prices of palm oil and soybeans. Moreover, the findings show that there exists the dependence between palm oil price and soybeans price, and crude oil price is one factor that has influence on relation of their prices. However, the dependence structure of the static copula for Crude oil-Palm oil (C,P), Crude oil-Soybeans (C,S), Palm oil-Soybeans (P,S), there exists a weak positive dependence in each pair-copula. This indicates that the price of each commodity is slightly related to the price of every other. In the case of soybeans, the ASEAN members should cooperate and incorporate their efforts to increase the capacity and performance in production to reduce relying on soybeans being imported from outside the region.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 169.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 219.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. ASEAN Secretariat, ASEAN Economic Community Factbook. The ASEAN Secretariat (2011a), http://www.thaifta.com/ThaiFTA/Portals/0/ASEAN_AECFactBook.pdf (accessed May 20, 2013)

  2. ASEAN Secretariat, ASEAN Community in Figures, ACIF, The ASEAN Secretariat (2012), http://www.asean.org/resources/publications/asean-publications/item/asean-community-in-figures-acif-2011-3 (accessed May 20, 2013)

  3. Wikipedia, BRIC (2013), http://en.wikipedia.org/wiki/BRIC (accessed May 20, 2013)

  4. ASEAN Secretariat, Regional and Country Reports of the ASEAN Assessment on the Social Impact of the Global Financial Crisis. The ASEAN Secretariat (2010), http://www.asean.org/archive/publications/ARCR/ASEANRegional&CountryReport.pdf (accessed May 20, 2013)

  5. Asian Development Bank, Global food price inflation and developing Asia. Asian Development Bank (2011), http://www.adb.org/publications/global-food-price-inflation-and-developing-asia (accessed May 23, 2013)

  6. Len, C.: Energy Security Cooperation in Asia: An ASEAN-SCO Energy Partnership (2007), http://www.silkroadstudies.org/new/docs/publications/2007/ENERGY1_015.pdf (accessed May 20, 2013)

  7. ASEAN Secretariat, ASEAN Community in a Global Community of Nations.Co-Chairs’ statement of the 4th ASEAN-UN summit Bali, Indonesia (November 19, 2011b), http://www.mofa.go.jp/region/asia-paci/eas/pdfs/declaration_1111_2.pdf (accessed May 20, 2013)

  8. USDA, Table 11: Palm Oil: World Supply and Distribution. United States Department of Agriculture (2013a), http://www.fas.usda.gov/oilseeds/Current/ (accessed May 27, 2013)

  9. USDA, Table 07: Soybeans: World Supply and Distribution. United States Department of Agriculture (2013b), http://www.fas.usda.gov/oilseeds/Current/ (accessed May 27, 2013)

  10. ASEAN Secretariat, The ASEAN Economic Community (AEC) Chartbook, The ASEAN Secretariat (2013), http://www.asean.org/images/2013/resources/publication/2013%20-%20AEC%20Chartbook%202012.pdf (accessed May 25, 2013)

  11. Speed, P.A.: ASEAN. The 45 Year Evolution of a Regional Institution. POLINARES working paper no. 61, University of Westminster (2012), http://www.polinares.eu/docs/d4-1/polinares_wp4_chapter11.pdf (accessed May 27, 2012)

  12. Reboredo, J.C.: How do crude oil prices co-move? A copula approach. Energy Economics 33, 948–955 (2011)

    Article  Google Scholar 

  13. Serra, T., Zilberman, D.: Biofuel-related price transmission literature: A review. Energy Economics 37, 141–151 (2013)

    Article  Google Scholar 

  14. FAO, Declaration of the world summit on food security. World Summit on Food Security, Rome (November 16-18, 2009), ftp://ftp.fao.org/docrep/fao/Meeting/018/k6050e.pdf (accessed May 20, 2013)

  15. United Nations, World Energy Assessment: Overview 2004 Update. United Nations Development Programme (2004), http://www.undp.org/content/dam/aplaws/publication/en/publications/environment-energy/www-ee-library/sustainable-energy/world-energy-assessment-overview-2004-update/World%20Energy%20Assessment%20Overview-2004%20Update.pdf (accessed May 23, 2013)

  16. Baffes, J.: Oil spills on other commodities. Resources Policy 32, 126–134 (2007)

    Article  Google Scholar 

  17. Sriboonchitta, S., et al.: Modeling volatility and dependency of agricultural price and production indices of Thailand: Static versus time-varying copulas. International Journal of Approximate Reasoning 54(6), 793–808 (2013)

    Article  Google Scholar 

  18. Bollerslev, T.: Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics 31, 307–327 (1986)

    Article  MathSciNet  MATH  Google Scholar 

  19. Wuertz, D., Chalabi, Y.: Rmetrics-Autoregressive Conditional Heteroskedastic Modelling (2013), http://cran.r-project.org/web/packages/fGarch/index.html (accessed May 10, 2013)

  20. Brechmann, E.C., Schepsmeier, U.: Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine. Journal of Statistical Software 52(3), 1–27 (2013), http://www.jstatsoft.org/v52/i03/ (accessed February 20, 2013)

    Google Scholar 

  21. Aas, K., et al.: Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44, 182–198 (2009)

    Article  MathSciNet  MATH  Google Scholar 

  22. Koyama, K.: A Though on Crude Oil Pricing in Asia. The institute of energy economics, Japan (2011), https://eneken.ieej.or.jp/data/3711.pdf (accessed May 27, 2013)

  23. USDA, Thailand Oilseeds and Products Annual. United States Department of Agriculture (2013c), http://gain.fas.usda.gov/Recent%20GAIN%20Publications/Oilseeds%20and%20Products%20Annual_Bangkok_Thailand_4-1-2013.pdf (accessed May 26, 2013)

  24. USDA, Vietnam Oilseeds and Products Annual 2013. United States Department of Agriculture (2013d), http://gain.fas.usda.gov/Recent%20GAIN%20Publications/Oilseeds%20and%20Products%20Annual_Hanoi_Vietnam_4-5-2013.pdf (accessed May 26, 2013)

  25. USDA, Indonesia Oilseeds and Products Update 2013. United States Department of Agriculture (2013e), http://usdaindonesia.org/wp-content/uploads/2013/02/Oilseeds-and-Products-Update_Jakarta_Indonesia_2-5-2013.pdf (accessed May 26, 2013)

  26. Patton, A.J.: Modelling Asymmetric Exchange Rate Dependence. International Economic Review 47(2), 527–556 (2006)

    Article  MathSciNet  Google Scholar 

  27. Manthos, V.: Dynamic Copula Toolbox 3.0 (2010), http://www.mathworks.com/matlabcentral/fileexchange/29303-dynamic-copula-toolbox-3-0 (accessed December 15, 2012)

  28. Abbott, P.C., et al.: Whats Driving Food Prices in 2011? Farm Foundation, NFP (2011), http://www.farmfoundation.org/news/articlefiles/1742-FoodPrices_web.pdf (accessed June 14, 2013)

Download references

Author information

Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Teera Kiatmanaroch & Songsak Sriboonchitta

Authors
  1. Teera Kiatmanaroch
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Songsak Sriboonchitta
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Teera Kiatmanaroch .

Editor information

Editors and Affiliations

  1. APAN Advanced Institute of Science and Technology, Ishikawa, Japan

    Van-Nam Huynh

  2. Department of Computer Science, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  3. Faculty of Economics, Chiangmai University, Chiangmai, Thailand

    Songsak Sriboonchitta

Rights and permissions

Reprints and permissions

Copyright information

© 2014 Springer International Publishing Switzerland

About this paper

Cite this paper

Kiatmanaroch, T., Sriboonchitta, S. (2014). Dependence Structure between Crude Oil, Soybeans, and Palm Oil in ASEAN Region: Energy and Food Security Context. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Modeling Dependence in Econometrics. Advances in Intelligent Systems and Computing, vol 251. Springer, Cham. https://doi.org/10.1007/978-3-319-03395-2_21

Download citation

  • DOI: https://doi.org/10.1007/978-3-319-03395-2_21

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-03394-5

  • Online ISBN: 978-3-319-03395-2

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics

Search

Navigation