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Harvest-Time Protein Shocks and Price Adjustments in U.S. Wheat Markets

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  • Goodwin, Barry K.
  • Smith, Vincent H.

Abstract

Dynamic relationships between three classes of wheat are investigated using threshold VAR models incorporating the effects of protein availability. Changes in the stock of protein are found to generate significant impulse responses in the price of hard red spring wheat and hard red winter wheat but not soft red wheat. These impulse responses to identical changes in protein stocks are larger when the absolute deviation of protein stocks from normal levels are large. Shocks to the prices of individual classes of wheat result in complex impulse responses in the prices of the other wheats. Notably, however, a shock to the price of hard red winter weak appears to result in little or no impulse response in the price of hard spring wheat, though the opposite is not true.

Suggested Citation

  • Goodwin, Barry K. & Smith, Vincent H., 2005. "Harvest-Time Protein Shocks and Price Adjustments in U.S. Wheat Markets," 2005 Annual meeting, July 24-27, Providence, RI 19173, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea05:19173
    DOI: 10.22004/ag.econ.19173
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    Cited by:

    1. Bekkerman, Anton & Brester, Gary W. & Taylor, Mykel, 2016. "Forecasting a Moving Target: The Roles of Quality and Timing for Determining Northern U.S. Wheat Basis," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 41(1), pages 1-17, January.
    2. Jens‐Peter Loy & Thore Holm & Carsten Steinhagen & Thomas Glauben, 2015. "Seasonal Quality Premiums for Wheat: A Case Study for Northern Germany," Agribusiness, John Wiley & Sons, Ltd., vol. 31(1), pages 63-75, January.
    3. Anton Bekkerman, 2021. "Quality forecasts: Predicting when and how much markets value higher‐protein wheat," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 69(4), pages 465-490, December.
    4. Ruiqing Miao & David A. Hennessy, 2015. "Optimal Protein Segregation Strategies for Wheat Growers," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 63(3), pages 309-331, September.
    5. Adjemian, Michael K. & Janzen, Joseph & Carter, Colin A. & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.

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