Price behaviour in the US sweetener market: a cointegration approach |
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Authors: | Charles B. Moss Andrew Schmits |
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Affiliation: | 1. Faculty of Law and Management, School of Economics and Finance, La Trobe University , Bundoora , VIC 3086 , Australia weihanliu2002@yahoo.com |
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Abstract: | The sweetener market in the United States is complicated because of the substitution possibilities between high fructose corn syrup (HFCS) and sugar. This study focuses on the relationship between raw sugar prices and the prices for high fructose corn syrup. Sugar and HFCS are imperfect substitutes for several industrial uses. Sugar can be used for all industrial uses, but HFCS has limited uses. This study uses cointegration analysis to examine the relationship between sugar and HFCS prices as well as the relationship between raw and refined sugar prices over time. The results indicate that sugar and HFCS prices move together for the 1983–1996 period. However, after this time period HFCS prices no longer follow sugar prices. |
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Keywords: | test for structural break exchange rate regime generalized Pareto distribution tail index extreme value theory |
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