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Cointegration among regional corn cash prices

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  • Xiaojie Xu

    (North Carolina State University)

Abstract

This study investigates cointegration among daily corn cash prices from seven Midwestern states for January 2006 ∼ March 2011, using both time invariant and time varying models. Changing cointegration is captured by time varying models, especially for the second half of the sample. The result identifies time periods for which a time invariant or time varying model is appropriate for further policy analysis.Classification-JEL: Q1

Suggested Citation

  • Xiaojie Xu, 2015. "Cointegration among regional corn cash prices," Economics Bulletin, AccessEcon, vol. 35(4), pages 2581-2594.
    • Handle: RePEc:ebl:ecbull:eb-15-00515
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    Cited by:

    1. Xiaojie Xu, 2019. "Price dynamics in corn cash and futures markets: cointegration, causality, and forecasting through a rolling window approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 155-181, June.
    2. Xiaojie Xu & Yun Zhang, 2022. "Contemporaneous causality among one hundred Chinese cities," Empirical Economics, Springer, vol. 63(4), pages 2315-2329, October.
    3. Xiaojie Xu & Yun Zhang, 2023. "Coking coal futures price index forecasting with the neural network," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 349-359, June.
    4. Xiaojie Xu, 2018. "Causal structure among US corn futures and regional cash prices in the time and frequency domain," Journal of Applied Statistics, Taylor & Francis Journals, vol. 45(13), pages 2455-2480, October.
    5. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
    6. Xiaojie Xu & Yun Zhang, 2023. "Neural network predictions of the high-frequency CSI300 first distant futures trading volume," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 191-207, June.

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    More about this item

    Keywords

    Corn; Cash Price; Time invariant; Time varying; Cointegration;
    All these keywords.

    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture

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