Measuring the synchronisation of agricultural prices: co-movement of cycles in pig and cattle prices in Brazil, Chile and Uruguay
提出一个概念框架解释价格同步性为何随时间变化，并用一致性指数测量巴西、智利和乌拉圭生猪与肉牛价格周期的同步程度，发现中等水平且不对称的不稳定性。
Abstract Simultaneous spikes in global prices of many agricultural commodities in recent years have induced an interest in quantifying the degree of synchronisation of these movements. We suggest a conceptual framework explaining why temporally varying price synchronisation may happen and propose the concordance index for the empirical measurement of the incidence, symmetry and permanence of synchronisation. We establish that the index generates insights into time series dynamics which are complementary to those obtained from cointegration analysis. We illustrate the approach with an application for the co-movement in cyclical components of pig and cattle prices in three Latin American countries. The findings reveal moderate synchronisation levels which show asymmetric instabilities.