The Co-Movement Between Cotton and Polyester Prices
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World Bank, Washington, DC
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The authors examine the price linkages among polyester (the dominant chemical fiber), cotton (the dominant natural fiber), and crude oil (the dominant energy commodity), based on monthly data between 1980 and 2002. The modeling framework incorporates several aspects of the unit root econometrics literature. They find that: a) There is strong co-movement between cotton and polyester prices, well above the co-movement observed between these two prices and prices of other primary commodities. b) Crude oil prices have a stronger effect on polyester prices compared with cotton prices. c) Price shocks originating in the polyester market are transmitted at much higher speed to the cotton market than vice-versa.
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ACRYLIC, AGRICULTURAL PRICES, AGRICULTURE, BARRIERS TO ENTRY, BUDGET DEFICITS, CARBON, CLOTHING, COCOA, COCONUT, COCONUT OIL, COFFEE, COMMODITY PRICES, COMPETITIVE ADVANTAGES, CONTRACTUAL ARRANGEMENTS, COTTON, COTTON PRICES, COTTON PRODUCTION, CPI, DEVELOPMENT ECONOMICS, ECONOMETRIC ANALYSIS, ECONOMETRICS, ECONOMIC DYNAMICS, EQUILIBRIUM, EXCHANGE RATES, EXPENDITURES, EXPORTS, FAO, FIBERS, FISHER EFFECT, FUTURE RESEARCH, INEFFICIENCY, INFLATION, INORGANIC FIBERS, INTEREST RATES, JUTE, MAIZE, MARKET ANALYSIS, MARKET INTEGRATION, MARKETING, MEAL, NATURAL FIBERS, NYLON, OIL, OIL PRICES, PALM OIL, POLITICAL ECONOMY, POLYESTER, PRESENT VALUE, PRICE CHANGES, PRICE INCREASES, PRODUCE, PRODUCERS, PURCHASING, PURCHASING POWER, RAYON, RICE, SILK, SISAL, SORGHUM, SOYBEAN, SOYBEAN OIL, STATISTICAL ANALYSIS, SUBSTITUTES, SUGAR, SYNTHETIC FIBRES, TEA, TEXTILES, TIME SERIES, TRADE POLICIES, WAGES, WHEAT, WOOL