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Do crop prices share common trends and common cycles?*

Do crop prices share common trends and common cycles?* Global crop prices decidedly co‐move: research supporting this view abounds. What is unclear is how strong the co‐movement is between them. This paper tests for a strong form of co‐movement amongst global crop prices before and after the global financial crisis (GFC) using a multivariate decomposition framework based on a serial‐correlation common feature. More specifically, we analyze common trends (i.e., long‐run co‐movement) and common cycles (i.e., short‐run co‐movement) amongst the global prices of five major crops: corn, palm oil, rice, soybean, and wheat. We show that corn and soybean prices are closely associated in the long and the short run—they respond similarly to persistent and transitory shocks. Furthermore, their associations have strengthened since the GFC. In contrast, the co‐movement of rice prices with the other crop prices has weakened during the 2010s. Overall, the cycles are relatively muted after the GFC, indicating that the five crop prices are trend‐dominated during this period; the observed prices adhere closely to their long‐run trends. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Australian Journal of Agricultural Resource Economics Wiley

Do crop prices share common trends and common cycles?*

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References (31)

Publisher
Wiley
Copyright
Copyright © 2022 Australian Agricultural and Resource Economics Society Inc.
ISSN
1364-985X
eISSN
1467-8489
DOI
10.1111/1467-8489.12464
Publisher site
See Article on Publisher Site

Abstract

Global crop prices decidedly co‐move: research supporting this view abounds. What is unclear is how strong the co‐movement is between them. This paper tests for a strong form of co‐movement amongst global crop prices before and after the global financial crisis (GFC) using a multivariate decomposition framework based on a serial‐correlation common feature. More specifically, we analyze common trends (i.e., long‐run co‐movement) and common cycles (i.e., short‐run co‐movement) amongst the global prices of five major crops: corn, palm oil, rice, soybean, and wheat. We show that corn and soybean prices are closely associated in the long and the short run—they respond similarly to persistent and transitory shocks. Furthermore, their associations have strengthened since the GFC. In contrast, the co‐movement of rice prices with the other crop prices has weakened during the 2010s. Overall, the cycles are relatively muted after the GFC, indicating that the five crop prices are trend‐dominated during this period; the observed prices adhere closely to their long‐run trends.

Journal

The Australian Journal of Agricultural Resource EconomicsWiley

Published: Apr 1, 2022

Keywords: common trends and cycles; global crop prices; time series

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