The Causality Between U.S.A. and Australian Wheat Prices
It has been generally agreed that Australia is a price follower on the world wheat market. However, to date, this has not been tested empirically. In this paper a transfer function model between prices of U.S.A. wheat and Australian wheat is set up to examine the existence, if any, of a leader-follower relationship. By employing the causality criteria as described by Granger, this analysis is implemented to draw inferences about causality among these wheat prices. Results indicated that a significant leader-follower relationship exists, with the U.S.A. taking the leader role. The results reported are particularly useful for wheat price forecasting work and provide a basis for further modelling work.
Volume (Year): 55 (1987)
Issue (Month): 01 (April)
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- Grant, Warren R. & Ngenge, Anthony Wawa & Brorsen, Barton Wade & Chavas, Jean-Paul, 1983. "Grain Price Interrelationships," Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 1.
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