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Causal relationships among world wheat prices

E. Henry Lee and Gail Cramer
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E. Henry Lee: Assistant Professor of Statistics at Montana State University, Bozeman, Montana, Postal: Assistant Professor of Statistics at Montana State University, Bozeman, Montana

Agribusiness, 1985, vol. 1, issue 1, 89-97

Abstract: An empirical study of the causal patterns among world wheat markets suggests that weak lead-lag relationships do exist between various wheat markets. Ten monthly time series for the period January 1972 to February 1981 and four weekly time series for the period July 1977 to June 1980 were analyzed using extensions of time series modeling procedures of Box and Jenkins. Differences between the empirical results and price leadership models in the economic literature are noted. Strong evidence of instantaneous movement among world wheat markets was found, but due to limitations in the data, there is only weak evidence that some markets act as price leaders. There is consistent evidence that the United States has been a price leader in the cash market over the years 1972 to 1981.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:wly:agribz:v:1:y:1985:i:1:p:89-97

DOI: 10.1002/1520-6297(198521)1:1<89::AID-AGR2720010110>3.0.CO;2-I

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