An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach-Reference-Cited by-同舟云学术

An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach

Published:2023-06-21 Issue:5 Volume:17 Page:1251-1260
ISSN:1932-104X
Container-title:Biofuels, Bioproducts and Biorefining
language:en
Short-container-title:Biofuels Bioprod Bioref

Author:

Quintino Derick D.¹^ORCID,Yaya OlaOluwa S.²^ORCID,Ogino Cristiane³,Ferreira Paulo⁴⁵⁶^ORCID

Affiliation:

1. Independent researcher São Paulo Brazil

2. Economic and Financial Statistics Unit, Department of Statistics University of Ibadan, Nigeria and Centre for Econometrics and Applied Research Ibadan Nigeria

3. Center for Advanced Studies on Applied Economics “Luiz de Queiroz” College of Agriculture, University of São Paulo (CEPEA\ESALQ\USP) São Paulo Brazil

4. VALORIZA – Research Centre for Endogenous Resource Valorization Portalegre Portugal

5. Instituto Politécnico de Portalegre Portalegre Portugal

6. CEFAGE‐UE, IIFA Universidade de Évora Évora Portugal

Abstract

AbstractWe investigate cointegration in prices of corn, soybean and sugarcane in Brazil using a fractional integration analysis, fractional cointegration in a pairwise set‐up and fractional cointegrating vector autoregressive (FCVAR) set‐up. Monthly real prices of sugarcane, corn and soybean are considered, in the period between March 2006 and May 2022. The results of fractional integration first show that the prices of these agricultural commodities are non‐mean reverting, and cointegrated in a pairwise fractional sense. The results, based on the FCVAR model, show the prices of the three commodities moving in different directions, that is, sugarcane and soybean negatively, while sugarcane and corn, and corn and soybean move in positive directions. The positive relationship between sugarcane and corn has implications for the ATR (‘açúcar total recuperável’ – total recoverable sugar, TRS) pricing of derivatives of two commodities, such as sugar and ethanol. Also, corn and soybean are close substitutes and are expected to have similar pricing dynamics over time. © 2023 Society of Industrial Chemistry and John Wiley & Sons Ltd.

Funder

Fundação para a Ciência e a Tecnologia

Publisher

Wiley

Subject

Renewable Energy, Sustainability and the Environment,Bioengineering

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/bbb.2518

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