Seasonal Cycles in European Agricultural Commodity Prices
Adusei Jumah () and
Robert Kunst ()
No 192, Economics Series from Institute for Advanced Studies
This paper explores the seasonal cycles of European agricultural commodity prices. We focus on three food crops (barley, soft and durum wheat) and on beef. We investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycle for specific agricultural commodities have converged over time. Finally, we develop time-series models that are capable of forecasting agricultural prices on a quarterly basis. Firstly, we find that seasonal cycles in agricultural commodity prices are mainly deterministic and that evidence on common cycles across countries varies over agricultural commodities. The prediction experiments, however, yield a ranking with respect to accuracy that does not always match the statistical in-sample evidence.
Keywords: Seasonal cycles; Seasonal unit roots; Forecasting; Agricultural commodities (search for similar items in EconPapers)
JEL-codes: C32 C53 Q11 (search for similar items in EconPapers)
Pages: 26 pages
New Economics Papers: this item is included in nep-agr, nep-ecm, nep-eec, nep-ets, nep-for and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:192
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