IDEAS home Printed from https://ideas.repec.org/a/ags/aolpei/262446.html
   My bibliography  Save this article

Do Sunspots Matter for Cycles in Agricultural Lending: a VEC Approach to Russian Wheat Market

Author

Abstract

In this article, we test a hypothesis about the influence of sunspot cycles on cycles of agricultural lending on example of wheat market. Analyzing data on Russian wheat market for period from 1990 to 2015 we test a hypothesis of solar activity’s impact on cycles in agricultural lending in the short and long run. Using a vector error correction approach to the sample, we obtain the following results: in the long run, sunspots, wheat yield, world wheat prices, and non-performing loans (NPL) for wheat market are related. In the short run, level of non-performing wheat loans depends only on wheat yields. However, results of Granger causality test confirm that wheat yield dynamics and sunspots Granger cause non-performing bank loans in Russia, which confirms our hypothesis of solar activity importance for agricultural lending activity.

Suggested Citation

  • Burakov, D., 2017. "Do Sunspots Matter for Cycles in Agricultural Lending: a VEC Approach to Russian Wheat Market," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 9(1), March.
    • Handle: RePEc:ags:aolpei:262446
    DOI: 10.22004/ag.econ.262446
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/262446/files/322_agris_on-line_2017_1_burakov.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/262446/files/322_agris_on-line_2017_1_burakov.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.262446?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
    2. Gorbanev, Mikhail, 2012. "Sunspots, unemployment, and recessions, or Can the solar activity cycle shape the business cycle?," MPRA Paper 40271, University Library of Munich, Germany.
    3. David Hirshleifer & Tyler Shumway, 2003. "Good Day Sunshine: Stock Returns and the Weather," Journal of Finance, American Finance Association, vol. 58(3), pages 1009-1032, June.
    4. Saunders, Edward M, Jr, 1993. "Stock Prices and Wall Street Weather," American Economic Review, American Economic Association, vol. 83(5), pages 1337-1345, December.
    5. Lev Pustilnik & Gregory Yom Din, 2013. "On Possible Influence of Space Weather on Agricultural Markets: Necessary Conditions and Probable Scenarios," Papers 1301.6334, arXiv.org.
    6. Rangan Gupta & Luis A. Gil-Alana & Olaoluwa S. Yaya, 2015. "Do sunspot numbers cause global temperatures? Evidence from a frequency domain causality test," Applied Economics, Taylor & Francis Journals, vol. 47(8), pages 798-808, February.
    7. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    9. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    10. Harrison, Virden L., 1976. "Do Sunspot Cycles Affect Crop Yields?," Agricultural Economic Reports 307575, United States Department of Agriculture, Economic Research Service.
    11. Anoop Sadanandan, 2014. "Political economy of suicide: financial reforms, credit crunches and farmer suicides in India," Journal of Developing Areas, Tennessee State University, College of Business, vol. 48(4), pages 287-307, October-D.
    12. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
    13. Novy-Marx, Robert, 2014. "Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars," Journal of Financial Economics, Elsevier, vol. 112(2), pages 137-146.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Berislav Žmuk & Hrvoje Jošić, 2023. "Investigation Of The Sunspots And Gdp Nexus: The Case Of Balkan Countries," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 68(237), pages 69-95, April – J.
    2. Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2021. "Disagreement on sunspots and soybeans futures price," Economic Modelling, Elsevier, vol. 95(C), pages 385-393.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
    2. Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.
    3. Kim, Jae H. & Shamsuddin, Abul, 2023. "Stock market anomalies: An extreme bounds analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
    5. Chen, Xiao & Guo, Gangxing, 2024. "Air pollution and online lender behavior: Evidence from Chinese peer-to-peer lending," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    6. Hakkı Kutay Bolkol, 2015. "Causal Relationship between Construction Production and GDP in Turkey," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 4(3), pages 42-53, July.
    7. Bashiri Behmiri, Niaz & Pires Manso, José R., 2012. "Does Portuguese economy support crude oil conservation hypothesis?," Energy Policy, Elsevier, vol. 45(C), pages 628-634.
    8. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    9. Razvan STEFANESCU & Ramona DUMITRIU, 2011. "The SAD Cycle for the Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 372-377.
    10. Catherine Bruneau & Eric Jondeau, 1999. "Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    11. Kaplanski, Guy & Levy, Haim, 2010. "Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 535-553, April.
    12. Gennaro Bernile & Vineet Bhagwat & Ambrus Kecskés & Phuong‐Anh Nguyen, 2021. "Are the risk attitudes of professional investors affected by personal catastrophic experiences?," Financial Management, Financial Management Association International, vol. 50(2), pages 455-486, June.
    13. Bertrand, Jean-Louis & Brusset, Xavier & Fortin, Maxime, 2015. "Assessing and hedging the cost of unseasonal weather: Case of the apparel sector," European Journal of Operational Research, Elsevier, vol. 244(1), pages 261-276.
    14. Yanhua Chen & Rosario N Mantegna & Athanasios A Pantelous & Konstantin M Zuev, 2018. "A dynamic analysis of S&P 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-40, March.
    15. Sulaiman, Saidu & Masih, Mansur, 2017. "Is liberalizing finance the game in town for Nigeria ?," MPRA Paper 95569, University Library of Munich, Germany.
    16. Jian Hu, 2008. "Does Weather Matter?," Departmental Working Papers 0809, Southern Methodist University, Department of Economics.
    17. Li, Jennifer (Jie) & Massa, Massimo & Zhang, Hong & Zhang, Jian, 2021. "Air pollution, behavioral bias, and the disposition effect in China," Journal of Financial Economics, Elsevier, vol. 142(2), pages 641-673.
    18. Massimiliano Castellani & Pierpaolo Pattitoni & Roberto Patuelli, 2015. "Abnormal Returns of Soccer Teams," Journal of Sports Economics, , vol. 16(7), pages 735-759, October.
    19. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    20. Abudy, Menachem (Meni) & Mugerman, Yevgeny & Shust, Efrat, 2022. "The Winner Takes It All: Investor Sentiment and the Eurovision Song Contest," Journal of Banking & Finance, Elsevier, vol. 137(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aolpei:262446. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/fevszcz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.