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Causal relationships among world wheat prices

Author

Listed:
  • E. Henry Lee

    (Assistant Professor of Statistics at Montana State University, Bozeman, Montana)

  • Gail L. Cramer

    (Professor of Agricultural Economics at Montana State University, Bozeman, Montana)

Abstract

An empirical study of the causal patterns among world wheat markets suggests that weak lead-lag relationships do exist between various wheat markets. Ten monthly time series for the period January 1972 to February 1981 and four weekly time series for the period July 1977 to June 1980 were analyzed using extensions of time series modeling procedures of Box and Jenkins. Differences between the empirical results and price leadership models in the economic literature are noted. Strong evidence of instantaneous movement among world wheat markets was found, but due to limitations in the data, there is only weak evidence that some markets act as price leaders. There is consistent evidence that the United States has been a price leader in the cash market over the years 1972 to 1981.

Suggested Citation

  • E. Henry Lee & Gail L. Cramer, 1985. "Causal relationships among world wheat prices," Agribusiness, John Wiley & Sons, Ltd., vol. 1(1), pages 89-97.
    • Handle: RePEc:wly:agribz:v:1:y:1985:i:1:p:89-97
    DOI: 10.1002/1520-6297(198521)1:1<89::AID-AGR2720010110>3.0.CO;2-I
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    References listed on IDEAS

    as
    1. Miller, Steve, 1979. "Univariate Residual Cross Correlation Analysis: An Application To Beef Prices," 1979 Annual Meeting, July 29-August 1, Pullman, Washington 278301, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. John Spriggs & Michael Kaylen & David Bessler, 1982. "The Lead-Lag Relationship between Canadian and U.S. Wheat Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(3), pages 569-572.
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    4. Colin Carter & Andrew Schmitz, 1979. "Import Tariffs and Price Formation in the World Wheat Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 61(3), pages 517-522.
    5. Chris M. Alaouze & A. S. Watson & N. H. Sturgess, 1978. "Oligopoly Pricing in the World Wheat Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 60(2), pages 173-185.
    6. David A. Bessler & Jon A. Brandt, 1982. "Causality Tests in Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(1), pages 140-144.
    7. Dale M. Heien, 1980. "Markup Pricing in a Dynamic Model of the Food Industry," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 62(1), pages 10-18.
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    Cited by:

    1. Olipra, Jakub, 2020. "Price transmission in (de)regulated agricultural markets," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 59(4), October.
    2. Sarker, Rakhal, 1990. "Testing Causality in Economics: A Review," Department of Agricultural Economics and Business 258629, University of Guelph.
    3. Blank, Steven C., 2001. "Globalization, Cropping Choices, And Profitability In American Agriculture," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 33(2), pages 1-12, August.
    4. Wilson, William W., 1986. "Competition in the International Wheat Market," Agricultural Economics Reports 23326, North Dakota State University, Department of Agribusiness and Applied Economics.
    5. Blank, Steven C, 1987. "Evaluating International Price Relationships Using Causal Models," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 14(3), pages 305-323.

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