Abstract:We investigate cointegration in prices of corn, soybean and sugarcane in Brazil using a fractional integration analysis, fractional cointegration in a pairwise set‐up and fractional cointegrating vector autoregressive (FCVAR) set‐up. Monthly real prices of sugarcane, corn and soybean are considered, in the period between March 2006 and May 2022. The results of fractional integration first show that the prices of these agricultural commodities are non‐mean reverting, and cointegrated in a pairwise fractional se… Show more
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