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Asymmetric spot‐futures prices adjustments in Quebec grain markets

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  • Alphonse Singbo
  • Dislène Sossou

Abstract

Asymmetric price transmission has been the subject of many studies in agricultural economics, but few has been said on Quebec grain market. This study uses threshold cointegration models to examine the dynamic relationship between Quebec spot and futures prices. Estimation results with daily, weekly, and monthly data from September 1994 to May 2022 are three‐fold. First, the main point to keep from cointegration tests is that futures prices and Quebec local grain prices are integrated but estimations with daily data are consistent to highlight a nonlinear long‐run relationship. Second, results indicate overall positive asymmetric for daily and weekly prices transmissions from futures to spot market. Third, the positive asymmetric prices transmissions shed light on the oligopoly structure of Quebec grain market and inefficiencies in the pricing mechanism which favor local grain sellers. Results with different data frequencies show that aggregated monthly prices data compared to more disaggregated data such as daily and weekly prices may lead to different results. Results imply that policymakers and market stakeholders could facilitate increased grain market competition. Grain users like Quebec hog producers need to better understand additional tools for their management of price risk like futures market and real time prices movement monitoring. La transmission asymétrique des prix a fait l'objet de nombreuses études en économie agricole, mais peu de choses ont été dites sur le marché des grains au Québec. Cette étude utilise des modèles de cointégration à seuil pour examiner la relation dynamique entre les prix au comptant et les prix à terme au Québec. Les résultats d'estimation avec des données quotidiennes, hebdomadaires et mensuelles de septembre 1994 à mai 2022 sont triples. Premièrement, le point principal à retenir des tests de cointégration est que les prix à terme et les prix locaux des grains au Québec sont intégrés, mais les estimations avec des données quotidiennes sont cohérentes pour mettre en évidence une relation non linéaire à long terme. Deuxièmement, les résultats indiquent une transmission globale asymétrique positive pour les prix quotidiens et hebdomadaires du marché à terme au marché au comptant. Troisièmement, les transmissions asymétriques positives des prix mettent en lumière la structure oligopolistique du marché des grains au Québec et les inefficacités dans le mécanisme de tarification qui favorisent les vendeurs de grains locaux. Les résultats avec des fréquences de données différentes montrent que les données de prix mensuelles agrégées, comparées à des données plus désagrégées telles que les prix quotidiens et hebdomadaires, peuvent mener à des résultats différents. Les résultats impliquent que les décideurs politiques et les acteurs du marché pourraient faciliter une concurrence accrue sur le marché des grains. Les utilisateurs de grains comme les producteurs de porcs du Québec doivent mieux comprendre les outils supplémentaires pour la gestion du risque de prix, comme le marché à terme et la surveillance en temps réel des mouvements des prix.

Suggested Citation

  • Alphonse Singbo & Dislène Sossou, 2024. "Asymmetric spot‐futures prices adjustments in Quebec grain markets," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 72(3), pages 347-363, September.
    • Handle: RePEc:bla:canjag:v:72:y:2024:i:3:p:347-363
    DOI: 10.1111/cjag.12370
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    1. Dimitrios Panagiotou, 2025. "Sign and size asymmetries between futures and spot prices in the markets of agricultural commodities," Modern Finance, Modern Finance Institute, vol. 3(3), pages 1-15.

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