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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.