A Global Vector Autoregression Model for the Analysis of Wheat Export Prices

Luciano Gutierrez, Francesco Piras and Pier Paolo Roggero

American Journal of Agricultural Economics, 2015, vol. 97, issue 5, 1494-1511

Abstract: Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, and there is an urgent need for appropriate policy responses. Perhaps new approaches are needed to better understand international spill-overs, the feedback between the real and the financial sectors, as well as the link between food and energy prices. In this article, we present the results from a new worldwide dynamic model that provides the short and long-run impulse responses of the international wheat price to various real and financial shocks.

Date: 2015
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