Tag: price cointegration

The oil produced from sunflower seed is primarily used for human consumption. It can substitute for other edible vegetable oils, such as rapeseed oil, processed into biodiesel in the European Union. This paper assesses the influence of crude oil futures on new crop sunflower seed futures in Hungary during the growing seasons of sunflower by applying standard cointegration analysis for the period 2004-2013. Tests were performed for the entire period and each sunflower growing season. For comparison, the influence of Paris rapeseed futures on sunflower seed futures was also assessed. The contrasting estimations for the global and seasonal characteristics of the variables suggest that standard cointegration analysis may not be appropriate for multiannual price series of agricultural commodities with strong seasonality in production because it will not capture the periodical shocks in supply and demand. The results are briefly discussed from the aspect of the fundamentals of the sun-flower seed market.

As the Black Sea Region (BSR) has recently emerged as a major world grain exporter region, this study assesses the possible influence of BSR maize prices on maize futures prices in Hungary. To measure the linear relationship between these prices the Pearson’s correlation was used, and to estimate their cointegration the Johansen test was performed for the period April 2011 to December 2013. Prices of Paris (MATIF) and Chicago (CBOT) maize futures were also included in the analysis for comparison. The results suggest that BSR maize prices had little or no influence on futures price discovery in Hungary during the period investigated. From this it can be concluded that (a) BSR supply and demand conditions bore negligible importance for market participants, and (b) Budapest Stock Exchange maize futures may not be efficient tools for hedging price risks associated with Hungarian maize exports to third countries where prices are derived from quotes at BSR seaports. On the other hand, MATIF maize futures prices had a measurable impact on the pricing of maize futures in Hungary, although this connection disappeared for the period April-December 2013. The same was true for CBOT maize futures prices which Hungarian maize futures prices were also cointegrated ...