Measuring the synchronisation of agricultural prices: co-movement of cycles in pig and cattle prices in Brazil, Chile and Uruguay

Astrid Fliessbach*, R. Ihle

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

Simultaneous spikes in global prices of many agricultural commodities in recent years have induced an interest in quantifying the degree of synchronisation of these movements. We suggest a conceptual framework explaining why temporally varying price synchronisation may happen and propose the concordance index for the empirical measurement of the incidence, symmetry and permanence of synchronisation. We establish that the index generates insights into time series dynamics which are complementary to those obtained from cointegration analysis. We illustrate the approach with an application for the co-movement in cyclical components of pig and cattle prices in three Latin American countries. The findings reveal moderate synchronisation levels which show asymmetric instabilities.
Original languageEnglish
Number of pages22
JournalEuropean Review of Agricultural Economics
DOIs
Publication statusE-pub ahead of print - 15 Mar 2021

Keywords

  • capital asset pricing model
  • cointegration
  • concordance index
  • pork cycle
  • price analysis
  • price cycle

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