Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72290
Authors: 
Jumah, Adusei
Kunst, Robert M.
Year of Publication: 
2006
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 192
Abstract: 
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.
Subjects: 
seasonal cycles
seasonal unit roots
forecasting
agricultural commodities
JEL: 
C32
C53
Q11
Document Type: 
Working Paper

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