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

Dmitry Vladimirovich Burakov

DOI 10.7160/aol.2017.090102
No 1/2017, March
pp. 17-31

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, Vol. 9, No. 1, pp. 17 - 31. ISSN 1804-1930. DOI 10.7160/aol.2017.090102.

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.

Keywords

Solar activity, wheat market, agricultural lending, crop yield, vector error correction, Granger causality test, credit cycle.

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