Price Dynamics in the North American Wheat Market

Abstract

Perron's test, Johansen cointegration analysis, and a vector error-correction (VEC) model are used to identify structural change, as well as to examine price dynamics in the U.S. and Canadian hard red spring (HRS) and durum wheat markets. It is found that, due to the U.S. Export Enhancement Program (EEP), price instability experienced in June 1986 has resulted in structural changes for Canadian HRS and durum prices. We also find that Canadian prices have significant effects on the determination of the U.S. prices in the North American wheat market.Canadian wheat exports, durum wheat, hard red spring wheat, Johansen cointe-gration test, unit root test with a structural break, vector error-correction, Demand and Price Analysis, International Relations/Trade,