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Black Sea Wheat Market Integration with the International Wheat Markets: Some Evidence from Co-integration Analysis

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  • Goychuk, Kateryna
  • Meyers, William H.

Abstract

In the last two years, Russia and Ukraine together exported an average of 29 million tons of wheat per year (USDA), and have become important players in the international wheat market. This paper examines the nature of the short- and long-run wheat price dynamics between Ukraine and Russia and other major wheat exporters - United States, European Union (EU), and Canada. For this purpose we use cointegration techniques (both the Johansen ML test and the Engel and Granger procedure) as well as the error correction model. The results suggest that Russian price series are cointegrated with those of the EU, but not with Canadian or U.S. wheat prices. Ukrainian prices series are found not to be cointegrated with other series. The estimated long-run price transmission elasticity between Russian and French (a representative country of the EU) wheat prices is equal to 1.07. We found the short-term relationship between Russia and EU also to be statistically significant. We show that after the price change occurs in the French price, Russian wheat price adjusts to the change within 6 months.

Suggested Citation

  • Goychuk, Kateryna & Meyers, William H., 2011. "Black Sea Wheat Market Integration with the International Wheat Markets: Some Evidence from Co-integration Analysis," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103894, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea11:103894
    DOI: 10.22004/ag.econ.103894
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    Cited by:

    1. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
    2. Götz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2013. "Export Restrictions and Multiple Spatial Price Equilibria: Export Quotas for Wheat in Ukraine," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156135, German Association of Agricultural Economists (GEWISOLA).
    3. Meyers, Kateryna & Goychuk, William H., 2012. "The Ukraine In Kru (Kazakhstan, Russia And Ukraine): Prospects For The Ukrainian Grain Economy," Village and Agriculture (Wieś i Rolnictwo), Polish Academy of Sciences (IRWiR PAN), Institute of Rural and Agricultural Development, vol. 4(157).
    4. Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
    5. Götz, Linde & Glauben, Thomas & Brümmer, Bernhard, 2013. "Wheat export restrictions and domestic market effects in Russia and Ukraine during the food crisis," Food Policy, Elsevier, vol. 38(C), pages 214-226.
    6. Ijambo, Bertha Deshimona, 2017. "An econometric analysis of spatial market integration and price formation in the Namibian sheep industry," Research Theses 334744, Collaborative Masters Program in Agricultural and Applied Economics.
    7. Gotz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2012. "Export Restrictions And Multiple Spatial Price Equilibria When International Prices Spike: Export Quotas For Wheat In Ukraine," 2012: New Rules of Trade? December 2012, San Diego, California 143179, International Agricultural Trade Research Consortium.

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