Price Integration and Adjustment Dynamics Across Global Food Markets: A Multivariate Cointegration Analysis

Global food prices are central to food security, inflation, and agricultural trade, yet it remains debated whether major food markets are structurally integrated in the long term or merely co-move during global shocks. This study examines long-term price integration and short-term adjustment dynamics across global food markets using FAO Food Price Index sub-indices for meat, dairy, cereals, vegetable oils, and sugar. Annual global data from 1990 to 2025 are analysed. Augmented Dickey–Fuller tests confirm that all series are integrated of order one, after which a multivariate Johansen cointegration framework is applied to identify long-term equilibrium relationships and estimate a Vector Error-Correction Model. The results indicate the presence of a single cointegrating relationship that links the five food markets, implying a common long-term equilibrium constraint across global food prices. Adjustment dynamics are asymmetric: vegetable oils exhibit the strongest and fastest error-correction behaviour, with cereals also adjusting significantly, while meat, dairy, and sugar show weak short-term adjustment. The estimated cointegrating vector further reveals differentiated long-term roles across markets, with vegetable oils exerting a large negative association and dairy and sugar contributing positively to equilibrium formation. Overall, global food markets operate as an integrated yet heterogeneous system with distinct adjustment mechanisms.