Common Trends, Common Cycles, and Price Relationships in the International Fiber Market

A multivariate unobserved component model was applied to identify common movements among cotton, wool, rayon, and polyester world prices. Two common stochastic trends and cycles govern the stochastic behaviors of price fluctuations in the world fiber market. These unobserved components have important implications as they can help in the design of more efficient commodity programs to smooth terms of trade shocks, especially in developing countries. The study found the effect of inventory adjustments on world cotton price is diminishing, which indicates that speculative behaviors in the world fiber market are less prevalent than previously thought.


Issue Date:
2007-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/8596
Published in:
Journal of Agricultural and Resource Economics, Volume 32, Number 1
Page range:
154-168
Total Pages:
15




 Record created 2017-04-01, last modified 2017-05-12

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