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Abstract
In the last two years, Russia and Ukraine together exported an average of 29 million tons of
wheat per year (USDA), and have become important players in the international wheat market. This
paper examines the nature of the short- and long-run wheat price dynamics between Ukraine and
Russia and other major wheat exporters - United States, European Union (EU), and Canada. For this
purpose we use cointegration techniques (both the Johansen ML test and the Engel and Granger
procedure) as well as the error correction model. The results suggest that Russian price series are
cointegrated with those of the EU, but not with Canadian or U.S. wheat prices. Ukrainian prices series
are found not to be cointegrated with other series. The estimated long-run price transmission elasticity
between Russian and French (a representative country of the EU) wheat prices is equal to 1.07. We
found the short-term relationship between Russia and EU also to be statistically significant. We show
that after the price change occurs in the French price, Russian wheat price adjusts to the change within
6 months.