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Price Dynamics in the North American Wheat Market AgEcon
Baek, Jungho; Koo, Won W..
Perron's test, Johansen cointegration analysis, and a vector error-correction (VEC) model are used to identify structural change, as well as to examine price dynamics in the U.S. and Canadian hard red spring (HRS) and durum wheat markets. It is found that, due to the U.S. Export Enhancement Program (EEP), price instability experienced in June 1986 has resulted in structural changes for Canadian HRS and durum prices. We also find that Canadian prices have significant effects on the determination of the U.S. prices in the North American wheat market.
Tipo: Journal Article Palavras-chave: Canadian wheat exports; Durum wheat; Hard red spring wheat; Johansen cointe-gration test; Unit root test with a structural break; Vector error-correction; Demand and Price Analysis; International Relations/Trade.
Ano: 2006 URL: http://purl.umn.edu/10217
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Price Dynamics in the North American Wheat Market AgEcon
Baek, Jungho; Koo, Won W..
This study examines price dynamics in the U.S. and Canadian hard red spring (HRS) and durum wheat markets. Using monthly prices for 1979-2002, we adopt Johansen cointegration tests and a vector error-correction (VEC) model. The results show that U.S. hard red winter (HRW) and Canadian HRS are exogenous in the model consisting of U.S. HRW and HRS and Canadian HRS prices. Canadian durum is exogenous in the model of U.S. and Canadian durum prices. Therefore, the results suggest that the HRW exporting industry and Canada have been the price leader in North American wheat markets.
Tipo: Conference Paper or Presentation Palavras-chave: Canadian wheat exports; Durum wheat; Hard red spring wheat; Johansen cointegration test; Unit root test with a structural break; Vector error-correction; Demand and Price Analysis.
Ano: 2005 URL: http://purl.umn.edu/19353
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