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Black Sea and World Wheat Market Price Integration Analysis

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  • Kateryna Goychuk
  • William H. Meyers

Abstract

type="main" xml:lang="fr"> Au cours de la période 2008–2010, la Russie et l'Ukraine combinées ont exporté annuellement en moyenne 29 millions de tonnes de blé et sont devenues des acteurs importants sur le marché mondial du blé. Dans la présente étude, nous résumons la dynamique des prix du blé à court et à long terme entre l'Ukraine et la Russie ainsi qu'entre d'autres grands exportateurs de blé, dont les États-Unis, l'Union européenne et le Canada, pour la période 2004–2010. À cette fin, nous avons effectué des tests de co-intégration des prix du marché (test de co-intégration de Johansen par la méthode du maximum de vraisemblance et tests de spécification appliqués aux résidus) et nous avons utilisé des modèles à correction d'erreur. Les résultats de notre étude indiquent que les prix du blé russe étaient co-intégrés avec les prix du blé européen (Union européenne) et américain, mais qu'ils ne l’étaient pas avec les prix du blé canadien. Les prix du blé ukrainien étaient co-intégrés avec les prix du blé français uniquement. Les élasticités de transmission de long terme des prix du blé ont été estimées à 1,04 entre les prix du blé russe et français (la France étant un pays représentatif de l'Union européenne), à 1,16 entre les prix du blé russe et américain, et à 1,05 entre les prix du blé ukrainien et français. Nos résultats indiquent également que la relation de court terme entre les séries co-intégrées était statistiquement significative. Les ajustements de prix de tous les prix co-intégrés se sont révélés symétriques.

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  • Kateryna Goychuk & William H. Meyers, 2014. "Black Sea and World Wheat Market Price Integration Analysis," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(2), pages 245-261, June.
    • Handle: RePEc:bla:canjag:v:62:y:2014:i:2:p:245-261
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