A Wavelet Analysis of Price Integration in Major Agricultural Markets

Getachew Nigatu and Michael Adjemian

Journal of Agricultural and Applied Economics, 2020, vol. 52, issue 1, 117-134

Abstract: We use linear time series and wavelets approach to study the relationships between U.S. and international prices for corn, soybeans, and cotton. We then compare results obtained with each approach and verify that structural breaks discovered with wavelet analysis match those produced with subsequent partial-period cointegration analysis. We find little evidence that short-term fluctuations between domestic and international prices are stable, while long-term relationships for many price pairs experience distinct structural breaks. We further find that even though China is among the largest importers of U.S. agricultural products, its commodity prices share little or no relationship with those prevailing in U.S. markets.

Date: 2020
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