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

A. 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
Pages (from-to)593-614
Number of pages22
JournalEuropean Review of Agricultural Economics
Volume49
Issue number3
Early online date15 Mar 2021
DOIs
Publication statusPublished - 7 Jun 2022

Keywords

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

Fingerprint

Dive into the research topics of 'Measuring the synchronisation of agricultural prices: co-movement of cycles in pig and cattle prices in Brazil, Chile and Uruguay'. Together they form a unique fingerprint.

Cite this