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A Global Vector Autoregression Model for the Analysis of Wheat Export Prices

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  • Luciano Gutierrez
  • Francesco Piras
  • Pier Paolo Roggero

Abstract

Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, and there is an urgent need for appropriate policy responses. Perhaps new approaches are needed to better understand international spill-overs, the feedback between the real and the financial sectors, as well as the link between food and energy prices. In this article, we present the results from a new worldwide dynamic model that provides the short and long-run impulse responses of the international wheat price to various real and financial shocks.

Suggested Citation

  • Luciano Gutierrez & Francesco Piras & Pier Paolo Roggero, 2015. "A Global Vector Autoregression Model for the Analysis of Wheat Export Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 97(5), pages 1494-1511.
    • Handle: RePEc:oup:ajagec:v:97:y:2015:i:5:p:1494-1511.
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    File URL: http://hdl.handle.net/10.1093/ajae/aau103
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    Citations

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    Cited by:

    1. Manuel Landajo & Mar'ia Jos'e Presno, 2024. "The prices of renewable commodities: A robust stationarity analysis," Papers 2402.01005, arXiv.org.
    2. Cao, A.N.Q. & Grosche, S.-C., 2018. "Financial and Commodity-specific expectations in soybean futures markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277538, International Association of Agricultural Economists.
    3. Adhikari, Saroj & Etienne, Xiaoli L. & Trujillo-Barrera, Andres A. & McConnell, Michael J. & Adam, Brian D., 2022. "Estimating the Effects of Rising International Corn Production and Trade on the US and Global Corn Market," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322283, Agricultural and Applied Economics Association.
    4. Luciano Gutierrez, 2017. "Impacts of El Niño-Southern Oscillation on the wheat market: A global dynamic analysis," PLOS ONE, Public Library of Science, vol. 12(6), pages 1-22, June.
    5. Huidan Xue & Chenguang Li & Liming Wang & Wen-Hao Su, 2021. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks," Sustainability, MDPI, vol. 13(16), pages 1-24, August.
    6. Annalisa Marini & Steve McCorriston, 2017. "Propagation of Commodity Market Shocks," Discussion Papers 1708, University of Exeter, Department of Economics.
    7. Manuel Landajo & María José Presno, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 447-470, April.
    8. Luciano Gutierrez & Guillaume Pierre & Maria Sabbagh, 2022. "Agricultural Grain Markets in the COVID-19 Crisis, Insights from a GVAR Model," Sustainability, MDPI, vol. 14(16), pages 1-13, August.

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