Local agricultural markets and external shocks – the case of Poland

Variables used in models

Variable	Description	Source
wheat_pln	Purchase price of wheat (PLN/t)	CSO in Poland
corn_pln	Purchase price of corn (PLN/t)	CSO in Poland
rapeseed_pln	Purchase price of rapeseed (PLN/t)	Ministry of Agriculture
wheat_crop	Wheat harvest volume in Poland (annual data)	Eurostat
corn_crop	Corn harvest volume in Poland (annual data)	Eurostat
rapeseed_crop	Rapeseed harvest volume in Poland (annual data)	Eurostat
wheat_eur_f	Wheat futures price at the end of the month (EUR/t)	Euronext
corn_eur_f	Corn futures price at the end of the month (EUR/t)	Euronext
rapeseed_eur_f	Rapeseed futures price at the end of the month (EUR/t)	Euronext
eurpln	EUR/PLN exchange rate at the end of the month	NBP
eurpln_sd	Standard deviation of the EUR/PLN exchange rate in each month calculated from daily quotations	Own calculations, NBP
freight	Sea freight price index on the European grain market at the end of the month (2013 = 100)	Own calculations, IGC*

Error correction models

	Wheat	Corn	Rapeseed
eurpln	0.665***(0.237)	0.948*(0.529)	0.898***(0.260)
wheat_eur_f	1.05***(0.040)
corn_eur_f		0.922***(0.091)
rapeseed_eur_f			0.946***(0.43)
cons	0.157(0.226)	0.347(0.474)	0.487*(0.250
EC term (t – 1)	–0.245**(0.079)	–0.530***(0.0876)	–0.511***(0.0723)
Δ eurpln (t – 1)	0.488(0.248)	–1.510**(0.568)	–0.265(0.213)
Δ wheat_pl (t – 1)	0.217*(0.098)
Δ wheat_eur_f (t – 1)	0.211*(0.101)
Δ corn_pl (t – 1)		0.417***(0.093)
Δ corn_eur_f (t – 1)		0.085(0.186)
Δ rapeseed_pl (t – 1)			0.218**(0.071)
Δ rapeseed_eur_f (t – 1)			0.008(0.10)
Cons	0.001(0.004)	0.002(0.009)	0.002(0.003)
R2	0.401 104	0.380 104	0.604 104
N	104	104	104

Wheat: the reaction function to changes in the price of futures contracts for wheat, corn, and rapeseed (EUR) depending on the level and volatility of the EUR/PLN exchange rate

		Month
		0	1	2	3	4	5	6
Wheat	Appreciation	0.630***(0.187)	0.922***(0.326)	1.078**(0.528)	1.340*(0.720)	1.278(0.879)	1.267(1.042)	1.386(1.212)
	Depreciation	0.823***(0.114)	1.379***(0.200)	1.467***(0.324)	1.485***(0.444)	1.652***(0.561)	1.601**(0.672)	1.816**(0.786)
	Difference	0.455	0.309	0.594	0.884	0.760	0.819	0.801
	Low Vol.	0.570***(0.154)	1.134***(0.264)	1.405***(0.421)	1.716***(0.580)	1.886***(0.710)	1.824**(0.841)	1.612*(0.963)
	High Vol.	0.968***(0.154)	1.442***(0.264)	1.512***(0.424)	1.467**(0.581)	1.565**(0.709)	1.622*(0.833)	2.375**(0.961)
	Diff (t-test)	0.139	0.502	0.885	0.806	0.794	0.889	0.647
Corn	Appreciation	–0.192(0.528)	–0.474(0.703)	0.746(0.836)	1.768*(0.999)	1.618(1.135)	0.910(1.289)	1.500(1.394)
	Depreciation	0.675**(0.318)	1.847***(0.427)	1.934***(0.520)	1.877**(0.622)	2.571***(0.720)	3.100***(0.816)	3.126***(0.905)
	Difference	0.234	0.018	0.310	0.938	0.550	0.228	0.408
	Low Vol	–0.370(0.466)	–0.247(0.627)	1.245*(0.747)	1.800**(0.877)	2.379**(1.008)	3.551***(1.142)	3.542***(1.232)
	High Vol.	1.008***(0.376)	2.073***(0.516)	1.983***(0.639)	2.244***(0.746)	2.552***(0.849)	1.894*(0.968)	2.390**(1.058)
	Diff (t-test)	0.060*	0.021**	0.541	0.753	0.914	0.367	0.560
Rapeseed	Appreciation	0.498(0.311)	0.720(0.441)	0.804(0.625)	0.526(0.920)	0.342(1.206)	0.067(1.391)	–0.122(1.563)
	Depreciation	0.782***(0.124)	1.789***(0.175)	2.340***(0.249)	2.403***(0.366)	2.449***(0.491)	2.710***(0.568)	3.078***(0.642)
	Difference	0.456	0.050	0.047	0.097	0.152	0.119	0.094
	Low Vol.	0.810***(0.203)	1.621***(0.286)	1.735***(0.403)	1.727***(0.573)	1.563**(0.755)	1.471*(0.865)	1.103(0.942)
	High Vol.	0.701***(0.170)	1.594***(0.246)	2.343***(0.348)	2.422***(0.493)	2.570***(0.638)	2.974***(0.729)	3.794***(0.802)
	Diff (t-test)	0.738	0.954	0.357	0.457	0.405	0.277	0.077

The reaction function of wheat prices in Poland (PLN) to changes in the price of futures contracts for wheat (in EUR)

		Month
		0	1	2	3	4	5	6
Wheat	Δ wheat_pl (t – 1)	0.262***(0.080)	0.437***(0.122)	0.500***(0.155)	0.415**(0.188)	0.324(0.201)	0.431*(0.218)	0.426*(0.238)
	Δ wheat_eur_f	0.494***(0.053)	0.869***(0.081)	0.999***(0.102)	1.090***(0.125)	1.142***(0.131)	1.195***(0.139)	1.101***(0.144)
	Δ wheat_eur_f (t – 1)	0.253***(0.067)	0.322***(0.101)	0.402***(0.133)	0.545***(0.158)	0.637***(0.167)	0.503***(0.177)	0.583***(0.189)
	Δ eurpln	–0.020(0.171)	0.375(0.273)	0.569(0.362)	0.845*(0.431)	0.748(0.464)	1.035**(0.504)	1.000*(0.529)
	Δ eurpln (t – 1)	0.333*(0.179)	0.580**(0.277)	0.868**(0.353)	0.697(0.426)	0.858*(0.458)	0.903*(0.481)	0.792(0.502)
Corn	Δ corn_pl (t – 1)	–0.018(0.112)	–0.215(0.149)	–0.181(0.168)	–0.156(0.188)	–0.163(0.208)	–0.318(0.226)	–0.293(0.233)
	Δ corn_eur_f	0.228(0.153)	0.331(0.210)	0.742***(0.239)	0.837***(0.269)	1.014***(0.292)	1.061***(0.320)	0.988***(0.338)
	Δ corn_eur_f (t – 1)	0.157(0.154)	0.618***(0.207)	0.695***(0.239)	0.885***(0.263)	0.946***(0.300)	0.886***(0.324)	0.931***(0.333)
	Δ eurpln	0.839*(0.458)	0.431(0.650)	0.789(0.771)	0.508(0.864)	0.754(0.973)	1.883*(1.045)	2.641**(1.074)
	Δ eurpln (t – 1)	–0.169(0.479)	0.358(0.665)	0.286(0.754)	0.232(0.862)	0.950(0.954)	2.165**(0.998)	1.011(1.062)
Rapeseed	Δ rapeseed_pl (t – 1)	0.172**(0.082)	–0.017(0.111)	–0.033(0.115)	0.152(0.131)	0.248*(0.143)	0.347**(0.158)	0.343*(0.181)
	Δ rapeseed_eur_f	0.318***(0.070)	0.706***(0.101)	1.037***(0.104)	1.070***(0.117)	0.864***(0.126)	0.979***(0.136)	1.041***(0.144)
	Δ rapeseed_eur_f (t – 1)	0.412***(0.081)	0.826***(0.108)	0.846***(0.116)	0.677***(0.127)	0.704***(0.135)	0.744***(0.149)	0.831***(0.156)
	Δ eurpln	0.263(0.213)	0.377(0.296)	0.538*(0.317)	0.881**(0.341)	1.304***(0.367)	1.484***(0.414)	1.396***(0.442)
	Δ eurpln (t – 1)	–0.078(0.223)	0.164(0.304)	0.458(0.315)	0.578(0.350)	0.910**(0.375)	0.788*(0.406)	0.812*(0.428)