The analysis of wheat prices using multiple structural breakpoint co-integration test
| Autor: | Gökhan Çinar, Adnan Hushmat |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
price discovery
Index (economics) Spot contract Cointegration Present value 05 social sciences wheat market Price discovery HB1-3840 futures market 0502 economics and business Ordinary least squares Econometrics Economics Economic theory. Demography 050202 agricultural economics & policy multiple structural-breakpoints 050207 economics Volatility (finance) price explosiveness General Economics Econometrics and Finance Futures contract |
| Zdroj: | Panoeconomicus, Vol 68, Iss 3, Pp 359-374 (2021) |
| ISSN: | 2217-2386 1452-595X |
| DOI: | 10.2298/pan150428004c |
| Popis: | From 2005 to 2008, high volatility in the markets affected grain prices significantly. This high volatility in grain prices made many researchers curious, and many discussions aroused from this topic. This study analyzes wheat price behavior during this period of high volatility. We estimate a return index for wheat using spot and futures wheat prices with the help of a present value model. To analyze the cointegration between the wheat prices and return index, a new co-integration test with multiple structural breaks, developed by Daiki Maki (2012), is used. The long-run cointegration coefficients are estimated using the Dynamic Ordinary Least Squares methodology. The empirical results show that there is cointegration between the spot and futures wheat prices, which tends to change at breakpoints. In other words, there is an equilibrium relation between spot prices and futures prices; however, it becomes unstable during the crisis in 2008. The results may help in understanding the dynamics of wheat prices, especially during high-volatility periods. Keywords: Futures market, Multiple structural-breakpoints, Price explosiveness, Price discovery, Wheat market. JEL: C32, G13, G14, Q11, Q14. |
| Databáze: | OpenAIRE |
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