The Interrelationship Between Sugar Prices at the Main World Sugar Commodities Markets

摘要

This paper focuses on the topic of the interrelationship between global sugar prices. This relationship is examined using multivariate time series analysis. The analysis is based on the data set containing daily prices of sugar on the core world sugar markets in the period August 2012-August 2017. The multivariate time series analysis was employed to detect and examine the short-run as well as the long-run interrelationship between the world sugar markets. For this purpose, the vector error correction model was employed as the most suitable tool for further examination. The analysis has shown the non-stationary characteristics of individual sugar prices. Moreover, the common trend of the analyzed time series has been detected by utilizing co-integration analysis. A close relationship has been revealed in a limited number of markets. The price of sugar on individual markets is lagged one period and common trend expressed mainly by world sugar price.