Seasonal cycles in European agricultural commodity prices

Arbeitspapier

This paper explores the seasonal cycles of European agricultural commodity prices. We focus on three food crops (barley, soft and durum wheat) and on beef. We investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycle for specific agricultural commodities have converged over time. Finally, we develop time-series models that are capable of forecasting agricul-tural prices on a quarterly basis. Firstly, we find that seasonal cycles in agricultural commodity prices are mainly deterministic and that evidence on common cycles across countries varies over agricultural commodities. The prediction experiments, however, yield a ranking with respect to accuracy that does not always match the statistical in-sample evidence.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 192

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Forecasting Models; Simulation Methods ; Agriculture: Aggregate Supply and Demand Analysis; Prices
• Subject: seasonal cycles ; seasonal unit roots ; forecasting ; agricultural commodities ; Preiswettbewerb ; Landwirtschaft ; Rohstoffpreis ; Saisonschwankung ; Europa

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jumah, Adusei ; Kunst, Robert M.
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/72290
• Last update: 10.03.2025, 11:45 AM CET