A Wavelet Analysis of Price Integration in Major Agricultural Markets. (4th November 2019)

• Record Type: Journal Article
• Authors: Nigatu, Getachew; Adjemian, Michael
• Is Part Of: Journal of agricultural and applied economics. Volume 52:Number 1(2020)
• Page Start: 117
• Page End: 134
• Publication Date: 2019-11-04
• Subjects: Agricultural commodity prices, -- cointegration, -- price discovery, -- wavelet coherence analysis; Q12, -- C22; Agriculture -- economics; Agriculture -- Economic aspects -- Periodicals; Agriculture -- Economic aspects -- Southern States -- Periodicals; Agriculture -- Economic aspects -- United States -- Periodicals; Agriculture -- Aspect économique -- Périodiques; Agriculture -- Aspect économique -- États-Unis -- Périodiques; Agrarökonomik; Agrarmarkt; USA; Welt; Agriculture -- Economic aspects; United States; Periodicals; 338.10975
• DOI: 10.1017/aae.2019.35
• Languages: English
• ISSNs: 1074-0708

Abstract

Abstract: We use linear time series and wavelets approach to study the relationships between U.S. and international prices for corn, soybeans, and cotton. We then compare results obtained with each approach and verify that structural breaks discovered with wavelet analysis match those produced with subsequent partial-period cointegration analysis. We find little evidence that short-term fluctuations between domestic and international prices are stable, while long-term relationships for many price pairs experience distinct structural breaks. We further find that even though China is among the largest importers of U.S. agricultural products, its commodity prices share little or no relationship with those prevailing in U.S. markets.