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Abstract

The United States historically played a dominant role in global agricultural commodity trading, and therefore price formation, for major food, feed and fiber commodities. But the share of U.S. agricultural commodity export has recently declined, and international supply and demand fundamentals likely play a larger role in setting commodity prices. Using wavelet coherence methods, this paper examines the price discovery process between the U.S. and international prices for corn, soybean, and cotton. The wavelet analyses reveal that short-run (around 20 trading days) relationship between the U.S. and international prices is, in many cases, not stable. The two major agricultural commodity exporters, the US and Brazil, experience long-run relationships in corn and soybean prices. Unlike Japan, Chinese commodity prices share little or no relationship with the U.S. prices even though China is one of the biggest export market for the US.

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