Structural Breaks and the Relationship between Barley and Wheat Futures Prices on the London International Financial Futures Exchange
Co-movement between futures prices can arise when commodities are substitutes. Counterintuitively, Dawson and White fail to find a significant long-run link between feed barley and wheat prices on the London International Financial Futures Exchange. This relationship is re-examined using Johansen, Mosconi, and Nielsen's co-integration procedure that permits structural breaks. Results show evidence of co-integration and hence price discovery. There is a significant break in October 2000 following Common Agricultural Policy intervention price reductions, the barley-wheat futures market is perfectly integrated, and the barley price Granger-causes the wheat price. Modeling structural breaks in price relationships appears important. Copyright 2006, Oxford University Press.
Year of publication: |
2006
|
---|---|
Authors: | Dawson, Philip J. ; Sanjuán, Ana I. ; White, Ben |
Published in: |
Review of Agricultural Economics. - Agricultural and Applied Economics Association - AAEA, ISSN 2040-5790. - Vol. 28.2006, 4, p. 585-594
|
Publisher: |
Agricultural and Applied Economics Association - AAEA |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Dawson, Philip J., (2006)
-
Dawson, Philip J., (2006)
-
Dawson, Philip J., (2006)
- More ...