Estimating the Location of World Wheat Price Determination

Joseph Janzen and Michael Adjemian

No 235838, 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association

Abstract: The United States may be losing its leading role in the world wheat market. Rising trading volume in foreign futures markets and shifting shares of world trade are suggested as evidence of this shift, but neither necessitates that futures markets in the United States are any less important for wheat price discovery. This paper uses the Hasbrouck (1995) Information Shares method to estimate the proportion of price discovery occurring in wheat futures markets in Chicago and Paris. Our preliminary results suggest that both markets are important for price discovery, but the Chicago market still leads. The proportion of wheat price discovery in each market remained relative stable over the period 2007-2013.

Keywords: Agricultural Finance; Demand and Price Analysis (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea16:235838

DOI: 10.22004/ag.econ.235838

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