The Effect of Risk on Price Levels and Margins in International Wheat Markets

Thomas Jayne () and Robert J. Myers

Review of Agricultural Economics, 1994, vol. 16, issue 1, 63-73

Abstract: The effects of price risk on equilibrium price levels and marketing margins in U.S.-Japan wheat trade are analyzed in this article. This issue is investigated using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) model. In both the short and long run, increased wheat price risk has little effect on U.S. export prices, but positively affects Japanese import prices and the size of the international marketing margin. However, the impact of price risk appears to be fairly small except during extremely volatile periods, such as during the mid-1970's.

Date: 1994
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