SUGAR PRICES DEVELOPMENT: THE RELATION AMONG SELECTED COMMODITY STOCKS EXCHANGE
SUGAR PRICES DEVELOPMENT: THE RELATION AMONG SELECTED COMMODITY STOCKS EXCHANGE

Summary/Abstract: World sugar market has been oscillating between surplus and deficit states. After the long-term period of surpluses, we recorded several deficits during the last ten years development and the state of global sugar stocks decreased to about 85 mln. tonnes in 2019/2020. The volume of consumption (176 mln. tonnes) passed over the volume of production (167 mln. tonnes). The last years sugar market development put world sugar prices under bearish pressure. Brazil and Australia are the only ones with a rather liberal, unprotected sugar market, while in all other countries at least the domestic market is affected by regulations. The processed paper is interested to analyse the world sugar price development at the level of several markets/stock exchanges. The objective is to identify whether there are existing or not some common features and relations influencing global and regional sugar price development. Causality and direction of causal relationship (causality in statistical meaning, better said precedency) was investigated by using Granger causality test. Evidence of long run equilibrium and number of cointegration vectors between markets was investigated by Johansen test. In final, was estimated relationship between markets by vector error correction mechanism. Reaction of prices in key markets to external impulse was expressed using impulse-response function. Based on above mentioned analyses, the strong relations were confirmed among ISA, New York 11 and London No. 5. Granger Causality test confirmed strong position of London No.5 and New York 11, which influence other markets. There was confirmed also causality in direction from New Delhi to Sao Paulo and from Sao Paulo to Mexico. Results of the VECM confirmed Granger causality and strong position of New York 11 and emphasized also role of ISA: In comparison of results obtained by correlation, causality and error correction mechanism, was confirmed important role of New York 11 in all these analyses.

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