Purpose This study investigates the integration of corn prices between Brazil and the United States from 2000 to 2023, with emphasis on seasonal dynamics driven by the expansion of Brazil’s winter corn crop. Design/methodology/approach The analysis employs a dynamic cointegration framework using recursive and rolling window tests based on the Johansen methodology. Daily spot and futures price data from both countries were examined to identify time-varying patterns in long-run price relationships. Findings Results show a higher incidence of price cointegration in the second half of the year, aligned with Brazil’s main corn export season. This pattern is especially strong in 2020–2022, when cointegration episodes concentrate between October and January. In contrast, first-semester months – particularly April, May and June – display markedly fewer integration days. Research limitations/implications The analysis identifies when integration occurs but does not model the structural drivers of parameter changes. Future research may examine how seasonal integration affects basis behavior and risk management in Brazil’s corn market. Social implications Understanding seasonal price integration can improve risk management and support more efficient and resilient food systems in emerging economies. Originality/value This study shows that price integration between Brazil and the United States is seasonal. Using a rolling Johansen approach with daily data (2000–2023), it demonstrates that long-run linkages occur more frequently in the second half of the year, in line with the expansion of Brazil’s winter crop and export concentration.
Souza et al. (2026) studied this question.