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A Wavelet Analysis of Price Integration in Major Agricultural Markets

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  • Nigatu, Getachew
  • Adjemian, Michael

Abstract

We use linear time series and wavelets approach to study the relationships between U.S. and international prices for corn, soybeans, and cotton. We then compare results obtained with each approach and verify that structural breaks discovered with wavelet analysis match those produced with subsequent partial-period cointegration analysis. We find little evidence that short-term fluctuations between domestic and international prices are stable, while long-term relationships for many price pairs experience distinct structural breaks. We further find that even though China is among the largest importers of U.S. agricultural products, its commodity prices share little or no relationship with those prevailing in U.S. markets.

Suggested Citation

  • Nigatu, Getachew & Adjemian, Michael, 2020. "A Wavelet Analysis of Price Integration in Major Agricultural Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 52(1), pages 117-134, February.
    • Handle: RePEc:cup:jagaec:v:52:y:2020:i:1:p:117-134_8
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    Cited by:

    1. Ran Lu & Hongjun Zeng, 2022. "VIX and major agricultural future markets: dynamic linkage and time-frequency relations around the COVID-19 outbreak," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(2), pages 334-353, September.
    2. Dejan Živkov & Jasmina Đurašković & Marina Gajić‐Glamočlija, 2022. "Multiscale downside risk interdependence between the major agricultural commodities," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 990-1011, October.
    3. Maximilian Heigermoser & Linde Götz & Miranda Svanidze, 2021. "Price formation within Egypt's wheat tender market: Implications for Black Sea exporters," Agricultural Economics, International Association of Agricultural Economists, vol. 52(5), pages 819-831, September.

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