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Seasonal Variation in the Price Discovery Process of International Wheat

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  • Carlos Arnade
  • Gary Vocke

Abstract

ABSTRACT This paper uses the Gonzalo–Granger price discovery method to determine whether wheat prices are primarily discovered in the Northern Hemisphere or Southern Hemisphere and whether the price discovery process changes throughout the calendar year. Testing U.S. hard red winter prices against Argentina's wheat price we find that the United States dominates the price discovery process 7 months of the year. Testing U.S Portland soft white prices against Australia's wheat price we find that both countries play a significant role in price discovery but the relative country contribution to price formation varies throughout the year. We also find that the price discovery process changes over time. [EconLit citations: D4, C1, F15].

Suggested Citation

  • Carlos Arnade & Gary Vocke, 2016. "Seasonal Variation in the Price Discovery Process of International Wheat," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 16-32, January.
    • Handle: RePEc:wly:agribz:v:32:y:2016:i:1:p:16-32
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    File URL: http://hdl.handle.net/10.1002/agr.21428
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    References listed on IDEAS

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    Cited by:

    1. Maximilian Heigermoser & Linde Götz & Miranda Svanidze, 2021. "Price formation within Egypt's wheat tender market: Implications for Black Sea exporters," Agricultural Economics, International Association of Agricultural Economists, vol. 52(5), pages 819-831, September.
    2. Rumánková, L., 2016. "Evaluation of Market Relations in Soft Milling Wheat Agri-food Chain," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 8(4), pages 1-9, December.

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