Market delineation and price leadership in the world wheat market: a cointegration analysis

Atanu Ghoshray

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

Wheat types may be classified according to strength, a baking characteristic. Since the demand for wheat is derived demand, the baking characteristic is directly related to end use. Accordingly, the wheat classes that are used in this study are divided into sub-groups according to strength, that is, strong, medium, and weak wheats. Time-series methods are employed to determine how the different classes of wheats are related within each sub-group. The different wheats under the different sub-groups are found to be substitutes to various degrees, but form a robust cointegrating relationship, implying that the wheat prices in these markets are bound together by a long-term equilibrium relationship. Within each of the sub-groups, the U.S. wheats were found to act as a price leader, driving the prices of other wheats belonging in the same sub-group. These U.S. wheats were found to form no long-run relationship between each other given their distinct end uses. The study highlights the importance of differentiating wheat by end use to specify price linkages more accurately.
Original languageEnglish
Pages (from-to)311-326
Number of pages16
JournalAgricultural and Resource Economics Review
Volume35
Issue number2
Publication statusPublished - 2006

Fingerprint

market analysis
leadership
markets
wheat
wheat classes
baking
Price leadership
Wheat
Cointegration analysis
market prices
time series analysis

Keywords

  • Other Primary Products (O130)
  • Environment
  • Agriculture
  • Natural Resources
  • Prices (Q110)
  • Energy
  • Aggregate Supply and Demand Analysis
  • Economic Development

Cite this

Market delineation and price leadership in the world wheat market: a cointegration analysis. / Ghoshray, Atanu.

In: Agricultural and Resource Economics Review, Vol. 35, No. 2, 2006, p. 311-326.

Research output: Contribution to journalArticle

@article{a86e920ec9e848159fd5f5dc718c9809,
title = "Market delineation and price leadership in the world wheat market: a cointegration analysis",
abstract = "Wheat types may be classified according to strength, a baking characteristic. Since the demand for wheat is derived demand, the baking characteristic is directly related to end use. Accordingly, the wheat classes that are used in this study are divided into sub-groups according to strength, that is, strong, medium, and weak wheats. Time-series methods are employed to determine how the different classes of wheats are related within each sub-group. The different wheats under the different sub-groups are found to be substitutes to various degrees, but form a robust cointegrating relationship, implying that the wheat prices in these markets are bound together by a long-term equilibrium relationship. Within each of the sub-groups, the U.S. wheats were found to act as a price leader, driving the prices of other wheats belonging in the same sub-group. These U.S. wheats were found to form no long-run relationship between each other given their distinct end uses. The study highlights the importance of differentiating wheat by end use to specify price linkages more accurately.",
keywords = "Other Primary Products (O130), Environment, Agriculture, Natural Resources, Prices (Q110), Energy, Aggregate Supply and Demand Analysis, Economic Development",
author = "Atanu Ghoshray",
year = "2006",
language = "English",
volume = "35",
pages = "311--326",
journal = "Agricultural and Resource Economics Review",
issn = "1068-2805",
publisher = "Northeastern Agricultural and Resource Economics Association",
number = "2",

}

TY - JOUR

T1 - Market delineation and price leadership in the world wheat market: a cointegration analysis

AU - Ghoshray, Atanu

PY - 2006

Y1 - 2006

N2 - Wheat types may be classified according to strength, a baking characteristic. Since the demand for wheat is derived demand, the baking characteristic is directly related to end use. Accordingly, the wheat classes that are used in this study are divided into sub-groups according to strength, that is, strong, medium, and weak wheats. Time-series methods are employed to determine how the different classes of wheats are related within each sub-group. The different wheats under the different sub-groups are found to be substitutes to various degrees, but form a robust cointegrating relationship, implying that the wheat prices in these markets are bound together by a long-term equilibrium relationship. Within each of the sub-groups, the U.S. wheats were found to act as a price leader, driving the prices of other wheats belonging in the same sub-group. These U.S. wheats were found to form no long-run relationship between each other given their distinct end uses. The study highlights the importance of differentiating wheat by end use to specify price linkages more accurately.

AB - Wheat types may be classified according to strength, a baking characteristic. Since the demand for wheat is derived demand, the baking characteristic is directly related to end use. Accordingly, the wheat classes that are used in this study are divided into sub-groups according to strength, that is, strong, medium, and weak wheats. Time-series methods are employed to determine how the different classes of wheats are related within each sub-group. The different wheats under the different sub-groups are found to be substitutes to various degrees, but form a robust cointegrating relationship, implying that the wheat prices in these markets are bound together by a long-term equilibrium relationship. Within each of the sub-groups, the U.S. wheats were found to act as a price leader, driving the prices of other wheats belonging in the same sub-group. These U.S. wheats were found to form no long-run relationship between each other given their distinct end uses. The study highlights the importance of differentiating wheat by end use to specify price linkages more accurately.

KW - Other Primary Products (O130)

KW - Environment

KW - Agriculture

KW - Natural Resources

KW - Prices (Q110)

KW - Energy

KW - Aggregate Supply and Demand Analysis

KW - Economic Development

M3 - Article

VL - 35

SP - 311

EP - 326

JO - Agricultural and Resource Economics Review

JF - Agricultural and Resource Economics Review

SN - 1068-2805

IS - 2

ER -