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A roller coaster ride: an empirical investigation of the main drivers of the international wheat price

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  • Bernardina Algieri

Abstract

Over the last decade, commodity prices have registered substantial booms and busts marked by extreme volatility. Wheat in particular, one of the main nonoil commodities, has registered a roller coaster in price levels which seems to be inconsistent with supply and demand fundamentals. To acutely investigate the drivers of wheat prices and quantify their impact, a vector error correction model (VECM) has been used. The exogenous variables have been distinguished into four groups: market-specific factors, broad macroeconomic determinants, speculative components, and weather variables. The quadriangulation of the determinants will enable us to better understand the movements in wheat price and identify the specific role of each component. The results show that a mix of factors are contributing to wheat price movements, including speculation, global demand, and real effective exchange rate.

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  • Bernardina Algieri, 2014. "A roller coaster ride: an empirical investigation of the main drivers of the international wheat price," Agricultural Economics, International Association of Agricultural Economists, vol. 45(4), pages 459-475, July.
    • Handle: RePEc:bla:agecon:v:45:y:2014:i:4:p:459-475
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    6. Zhu, Yichen & Ghoshray, Atanu, 2021. "Climate Anomalies and Its Impact on U.S. Corn and Soybean Prices," 2021 Conference, August 17-31, 2021, Virtual 315271, International Association of Agricultural Economists.
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    8. Wei, Yu & Zhang, Jiahao & Chen, Yongfei & Wang, Yizhi, 2022. "The impacts of El Niño-southern oscillation on renewable energy stock markets: Evidence from quantile perspective," Energy, Elsevier, vol. 260(C).
    9. Ubilava, David, 2017. "The ENSO Effect and Asymmetries in Wheat Price Dynamics," World Development, Elsevier, vol. 96(C), pages 490-502.
    10. Bernardina Algieri, 2021. "Fast & furious: Do psychological and legal factors affect commodity price volatility?," The World Economy, Wiley Blackwell, vol. 44(4), pages 980-1017, April.
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