Price Dynamics in the North American Wheat Market

Jungho Baek and Won W. Koo
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Jungho Baek: North Dakota State University
Won W. Koo: North Dakota State University

Agricultural and Resource Economics Review, 2006, vol. 35, issue 2, pages 265-275

Abstract: Perron’s test, Johansen cointegration analysis, and a vector error-correction (VEC) model are used to identify structural change, as well as to examine price dynamics in the U.S. and Cana-dian hard red spring (HRS) and durum wheat markets. It is found that, due to the U.S. Export Enhancement Program (EEP), price instability experienced in June 1986 has resulted in structural changes for Canadian HRS and durum prices. We also find that Canadian prices have significant effects on the determination of the U.S. prices in the North American wheat market.

Keywords: Canadian wheat exports; durum wheat; hard red spring wheat; Johansen cointe-gration test; unit root test with a structural break; vector error-correction (search for similar items in EconPapers)

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