Understanding the Dependence Structure Between the Futures and Spot Prices of Wheat in Egypt

Osama Ahmed and Fadi Abdelradi
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Osama Ahmed: Leibniz Institute of Agricultural Development in Transition Economies (IAMO), Halle, Germany
Fadi Abdelradi: Agricultural Economics Department, Faculty of Agriculture, Cairo University, Cairo, Egypt

International Journal of Food and Beverage Manufacturing and Business Models (IJFBMBM), 2019, vol. 4, issue 1, 20-37

Abstract: The aim of this article is to check the dependence structure for the futures-spot prices link of Egyptian wheat. Co-movements between prices are assessed by a GJR-GARCH model and semi-parametric copula estimation. Results suggest a positive futures-spot prices link, which becomes stronger the closer the markets are. Evidence of asymmetric behavior of the prices at times of extreme market situations is found. As a result, increases in wheat futures prices are expected to be passed to the Egyptian spot market, while the prices decline is not passed. This implies that the Egyptian wheat market cannot protect consumers against extreme international wheat price increases.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:igg:jfbmbm:v:4:y:2019:i:1:p:20-37

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