The relationship between vegetable and tropical oils prices is investigated utilizing a vector autoregressive approach. Despite the apparent similarities between these oil prices in terms of their general pattern of movement over time, the relationships were not found to be strong enough to label them as 'cointegrated series'. Further analysis indicates that substitution relationships appear to drive price movements in the short run, while market-based structural factors for each of the oils are important elements in the price formation process in the long run.
This paper is concerned with specification and estimation of a model explaining market shares for the world's major vegetable and tropical oils. Market shares are explained by relative prices and an attribute variable designed to reflect increased consumer preference for polyunsaturated fats and oils. A general autoregressive distributed lag model is specified, with data acceptable reduction of the unrestricted model yielding a more parsimonius representation of the data generation process.
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