期刊
JOURNAL OF AGRICULTURAL AND APPLIED ECONOMICS
卷 52, 期 1, 页码 117-134出版社
CAMBRIDGE UNIV PRESS
DOI: 10.1017/aae.2019.35
关键词
Agricultural commodity prices; cointegration; price discovery; wavelet coherence analysis
资金
- U.S. Department of Agriculture, Economic Research Service
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.
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