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The Effect of Risk on Price Levels and Margins in International Wheat Markets

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  • Thomas S. Jayne
  • Robert J. Myers

Abstract

The effects of price risk on equilibrium price levels and marketing margins in U.S.-Japan wheat trade are analyzed in this article. This issue is investigated using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) model. In both the short and long run, increased wheat price risk has little effect on U.S. export prices, but positively affects Japanese import prices and the size of the international marketing margin. However, the impact of price risk appears to be fairly small except during extremely volatile periods, such as during the mid-1970's.

Suggested Citation

  • Thomas S. Jayne & Robert J. Myers, 1994. "The Effect of Risk on Price Levels and Margins in International Wheat Markets," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 16(1), pages 63-73.
    • Handle: RePEc:oup:revage:v:16:y:1994:i:1:p:63-73.
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    Cited by:

    1. Xiaojie Xu, 2017. "Short-run price forecast performance of individual and composite models for 496 corn cash markets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2593-2620, October.
    2. Negassa, Asfaw & Jayne, Thomas S., 1997. "The Response of Ethiopian Grain Markets to Liberalization," Food Security Collaborative Working Papers 55595, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    3. Jayne, Thomas S. & Mukumbu, Mulinge & Duncan, John & Staatz, John M. & Howard, Julie A. & Lundberg, Mattias K.A. & Aldridge, Kim & Nakaponda, Bethel & Ferris, John N. & Keita, Francis & Sanankoua, Abd, 1995. "Trends in Real Food Prices in Six Sub-Saharan African Countries," Food Security International Development Policy Syntheses 11327, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    4. Haigh, Michael S. & Bryant, Henry L., 2001. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, Blackwell, vol. 25(1), pages 41-58, June.
    5. Jayne, Thomas S. & Molla, Daniel, 1995. "Toward a Research Agenda to Promote Household Access to Food in Ethiopia," Food Security Collaborative Working Papers 55591, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    6. Haigh, Michael S. & Bryant, Henry L., 2000. "Price And Price Risk Dynamics In Barge And Ocean Freight Markets And The Effects On Commodity Trading," 2000 Conference, April 17-18 2000, Chicago, Illinois 18934, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    7. Alan Woodland & Kishti Sen, 2010. "The volatility of Australian traded goods' prices," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3849-3869.
    8. Michael S. Haigh & Henry L. Bryant, 2000. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, International Association of Agricultural Economists, vol. 25(1), pages 41-58, June.
    9. Kilima, Fredy & Chung, Chanjin & Kenkel, Philip L. & Mbiha, Emanuel, 2004. "The Impact Of Market Reforms On Spatial Volatility Of Maize Price In Tanzania," 2004 Annual meeting, August 1-4, Denver, CO 20332, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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