Trade and Integration of the US and China’s Cotton Markets

Yuanlong Ge, H. Holly Wang and Sung K. Ahn

No 36975, 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: The cotton market in China is highly interactive with international markets, especially, the US market. The prices in these two markets can reveal important market relations. Investigating the data of futures prices from the New York Board of Trade (NYBOT) and the Zhengzhou Commodity Exchange (CZCE) using several time series methods, we find a long-run cointegration relationship between these I(1) series. Furthermore, a bi-directional Granger Causality between these two futures markets is detected with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) error specifications. We also find the relationship is impacted by the Chinese exchange rate policy change in the 2005.

Keywords: Agricultural Finance; Demand and Price Analysis; International Relations/Trade (search for similar items in EconPapers)
Pages: 27
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea07:36975

DOI: 10.22004/ag.econ.36975

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