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Do crude oil prices influence new crop sunflower seed futures price discovery in Hungary? A cointegration analysis contrasting the application of multi-seasonal time

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  • Potori, Noorbert
  • Stark, Andras

Abstract

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 EU. 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 sunflower seed market.

Suggested Citation

  • Potori, Noorbert & Stark, Andras, 2015. "Do crude oil prices influence new crop sunflower seed futures price discovery in Hungary? A cointegration analysis contrasting the application of multi-seasonal time," 2015 Conference, August 9-14, 2015, Milan, Italy 212710, International Association of Agricultural Economists.
  • Handle: RePEc:ags:iaae15:212710
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    File URL: http://ageconsearch.umn.edu/record/212710/files/Potori-Do%20crude%20oil%20prices%20influence%20new%20crop%20sunflower%20seed%20futures%20price%20discovery-1242.pdf
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    References listed on IDEAS

    as
    1. Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
    2. Harri, Ardian & Nalley, Lanier & Hudson, Darren, 2009. "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(02), pages 501-510, August.
    3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Keywords

    Agribusiness; Crop Production/Industries; Demand and Price Analysis;

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