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Price Dynamics in the North American Wheat Market

  • Baek, Jungho
  • Koo, Won W.

This study examines price dynamics in the U.S. and Canadian hard red spring (HRS) and durum wheat markets. Using monthly prices for 1979-2002, we adopt Johansen cointegration tests and a vector error-correction (VEC) model. The results show that U.S. hard red winter (HRW) and Canadian HRS are exogenous in the model consisting of U.S. HRW and HRS and Canadian HRS prices. Canadian durum is exogenous in the model of U.S. and Canadian durum prices. Therefore, the results suggest that the HRW exporting industry and Canada have been the price leader in North American wheat markets.

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File URL: http://purl.umn.edu/19353
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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2005 Annual meeting, July 24-27, Providence, RI with number 19353.

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Date of creation: 2005
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Handle: RePEc:ags:aaea05:19353
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  1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
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  8. Mattson, Jeremy W. & Koo, Won W. & Baek, Jungho, 2005. "Effects Of The Duties On Canadian Hard Red Spring Wheat," Agribusiness & Applied Economics Report 23494, North Dakota State University, Department of Agribusiness and Applied Economics.
  9. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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  11. Ghoshray, Atanu & Lloyd, Tim A., 2003. "Price Linkages In The International Wheat Market," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25852, International Association of Agricultural Economists.
  12. Koo, Won W. & Mattson, Jeremy W., 2002. "U.S.-Canada Wheat Trade And Its Effects On U.S. Price And Income," Agribusiness & Applied Economics Report 23572, North Dakota State University, Department of Agribusiness and Applied Economics.
  13. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  14. Schroeder, Ted C. & Goodwin, Barry K., 1990. "Price Dynamics in International Wheat Markets," Staff Papers 118178, Kansas State University, Department of Agricultural Economics.
  15. Koo, Won W. & Jin, Hyun Joung & Mattson, Jeremy W. & Taylor, Richard D. & Cho, Guedae, 2004. "Effects Of The Canadian Wheat Board On The U.S. Wheat Industry," Agribusiness & Applied Economics Report 23530, North Dakota State University, Department of Agribusiness and Applied Economics.
  16. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
  17. Lavoie, Nathalie, 2002. "An Empirical Evaluation Of The Canadian Wheat Board'S Ability To Price Discriminate In Bread Wheat Exports," 2002 Annual meeting, July 28-31, Long Beach, CA 19646, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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