The Causality Between U.S.A. and Australian Wheat Prices

It has been generally agreed that Australia is a price follower on the world wheat market. However, to date, this has not been tested empirically. In this paper a transfer function model between prices of U.S.A. wheat and Australian wheat is set up to examine the existence, if any, of a leader-follower relationship. By employing the causality criteria as described by Granger, this analysis is implemented to draw inferences about causality among these wheat prices. Results indicated that a significant leader-follower relationship exists, with the U.S.A. taking the leader role. The results reported are particularly useful for wheat price forecasting work and provide a basis for further modelling work.


Issue Date:
1987-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/12313
Published in:
Review of Marketing and Agricultural Economics, Volume 55, Number 01
Page range:
37-50
Total Pages:
14




 Record created 2017-04-01, last modified 2018-01-22

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