Assessing the Current Situation of the World Wheat Market Leadership: Using the Semi-Parametric Approach

Osama Ahmed
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Osama Ahmed: Department of Agricultural Markets, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), Theodor-Lieser-Str. 2, 06120 Halle (Saale), Germany

Mathematics, 2021, vol. 9, issue 2, 1-21

Abstract: This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marché à Terme International de France (MATIF) futures market.

Keywords: price discovery; wheat market leadership; error correction model-GARCH; cointegration analysis; dependence analysis; semi-parametric copula (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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