Empirical Evidence on Market Structure in Selected Agricultural Commodity Markets Pre- and Post-“Great Recessionâ€

Phillip A. Cartwright ()
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Phillip A. Cartwright: Acenscia Business School, Ascencia Center for Applied Business and Management Research, 2 Parvis de la Défense, 92800 Puteaux, France

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2024, vol. 27, issue 03, 1-37

Abstract: This paper explores the cointegration between agricultural commodity prices, crude oil prices and exchange rates. Vector autoregressions (VAR) or vector error correction models (VECMs) are applied to price data for French maize and milling wheat, U.S. corn prices and spot and future oil prices. The series are split between 2000-2007 and 2009–2019 omitting the “Great Recession†allowing for analysis of structural market changes. While oil prices influence futures pricing, the link is neither stable nor widespread. Modeling of time series in search of cointegration must consider structural market changes. Results from a “one-model-fits-all†approach are unlikely to be satisfactory.

Keywords: Market structure; commodity prices; cointegration; VAR; VECM (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S0219091524500218

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