A method of producing an alkyl ester. The method comprises providing an alcohol and a triglyceride or fatty acid. An expanding gas is dissolved into the alcohol to form a gas expanded solvent. The alcohol is reacted with the triglyceride or fatty acid in a single phase to produce the alkyl ester. The expanding gas may be a nonpolar expanding gas, such as carbon dioxide, methane, ethane, propane, butane, pentane, ethylene, propylene, butylene, pentene, isomers thereof, and mixtures thereof, which is dissolved into the alcohol. The gas expanded solvent may be maintained at a temperature below, at, or above a critical temperature of the expanding gas and at a pressure below, at, or above a critical pressure of the expanding gas.