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Price and Volatility Transmission in International Wheat Futures

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Author Info

  • Jian Yang

    (Department of Accounting, Finance and Information Systems, Prairie View A&M University)

  • Jin Zhang

    (Department of Agricultural Economics, Texas A&M University)

  • David J. Leatham

    (Department of Agricultural Economics, Texas A&M University)

Abstract

This study examines futures price and volatility transmissions among three major wheat production and exporting regions, the United States (US), Canada and the European Union (EU) over the recent six-year study period of 1996 - 2002. The price transmission pattern shows that Canadian prices are much more influenced by the US prices than the US prices are influenced by Canadian prices. The EU is highly self-dependent and may exert some influence on the US prices in the long run but not vice versa. The volatility transmission pattern, however, shows that volatility is transmitted from Canada and the EU to the US but not vice versa. The volatility is also transmitted from the EU to Canada but not vice versa. Overall, there is no distinctive leadership role in international wheat markets, with all three markets exhibiting features of price leadership to some extent.

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Bibliographic Info

Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 4 (2003)
Issue (Month): 1 (May)
Pages: 37-50

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Handle: RePEc:cuf:journl:y:2003:v:4:i:1:p:37-50

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Keywords: Price and volatility transmission; Generalized forecast error variance decomposition; Generalized impulse response analysis; Multivariate GARCH;

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References

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Cited by:
  1. Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  2. Manuel A. Hernández & Raúl Ibarra-Ramírez & Danilo R. Trupkin, 2011. "How Far Do Shocks Move Across Borders? Examining Volatility Transmission in Major Agricultural Futures Markets," Working Papers, Banco de México 2011-15, Banco de México.
  3. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade, EconWPA 0511013, EconWPA.
  4. VAN BINH, Tu & DUMONT, Michel, 2008. "A fishing expedition in the Mekong Delta: Market volatility and price substitutes for Vietnamese fresh water fish," Working Papers 2008002, University of Antwerp, Faculty of Applied Economics.
  5. Kong, Minji & Han, Doo Bong & Nayga, Rodolfo M., Jr., 2012. "Interrelationship and Volatility Transmission between Grain and Oil Prices," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 124377, Agricultural and Applied Economics Association.

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