A Wavelet Analysis of Price Integration in Major Agricultural Markets. (4th November 2019)
- Record Type:
- Journal Article
- Title:
- A Wavelet Analysis of Price Integration in Major Agricultural Markets. (4th November 2019)
- Main Title:
- A Wavelet Analysis of Price Integration in Major Agricultural Markets
- Authors:
- Nigatu, Getachew
Adjemian, Michael - 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.
- Is Part Of:
- Journal of agricultural and applied economics. Volume 52:Number 1(2020)
- Journal:
- Journal of agricultural and applied economics
- Issue:
- Volume 52:Number 1(2020)
- Issue Display:
- Volume 52, Issue 1 (2020)
- Year:
- 2020
- Volume:
- 52
- Issue:
- 1
- Issue Sort Value:
- 2020-0052-0001-0000
- 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 - Journal URLs:
- http://search.proquest.com//publication/1816449 ↗
http://search.proquest.com//publication/35330 ↗
http://gateway.proquest.com/openurl?ctx%5Fver=Z39.88-2003&res%5Fid=xri:ItemLocation:pqd&rft%5Fval%5Ffmt=ori:fmt:kev:mtx:journal&genre=journal&req%5Fdat=xri:pqil:pq%5Fclntid=58117&res%5Fdat=xri:pqil:res%5Fver=0.2&svc%5Fid=xri:pqil:context=title&rft%5Fid=xri:pqd:PMID=52537 ↗
http://journals.cambridge.org/action/displayJournal?jid=AAE ↗ - DOI:
- 10.1017/aae.2019.35 ↗
- Languages:
- English
- ISSNs:
- 1074-0708
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 14986.xml