Biomass Price Volatility - Analysis of the Historic Biomass and Energy Price volatility in the Austrian Market

Published 2013

Citation: Kristöfel C, Strasser C, Morawetz U, Schmidt J, Schmid E. Biomass Price Volatility - Analysis of the Historic Biomass and Energy Price volatility in the Austrian Market, 21st European Biomass Conference and Exhibition 2013, 3rd-7th of June 2013, Copenhagen, Denmark. p 1721-1727.

Abstract

Several energy and agricultural commodities have experienced higher price volatility in recent years. Hence, the interest in food and energy security issues as well as price volatility has increased, particularly since the rise in food and energy commodity prices in 2007/2008. Volatility is associated with risk since higher price volatility leads to additional costs that are often shared and transmitted along the supply chain to the final consumers. Volatility of woody biomass prices is also possibly higher due to increased market dynamics and integration as well as renewable energy policy intervention. We compute historic price volatility using the standard deviation of log returns as well as univariate GARCH models and empirically analyze whether or not price volatility of woody biomass commodities has increased in recent years. We also compare the historic price volatility of woody biomass to the price volatility of agricultural commodities and fossil fuels. Results indicate that the price volatility of some woody biomass commodities has increased, but it is still lower than of agricultural biomass and fossil fuels.