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Abstract
The aim of this paper is to check if there is a relation between the wheat prices of the
Argentinian and the International market, if these markets are integrated in space. For that, it
was used as time reference the period from January, 1994 to April, 2009. Unit root tests,
Granger causality, Johansen cointegration, estimation of the impulse response function,
decomposition of error variation and estimation and analysis of the error correction model were
used. The results indicated that variations in the international prices of wheat were almost
completely transmitted for the run long. However, it is not possible to affirm that the
Argentinian and the International markets are perfectly integrated even if they have a higher
transmission of prices This is because the hypothesis of perfect integration between the markets
is rejected when restrictions were imposed to the coefficients related to the long run. It was also
noticed through the exogeneity test that the Argentinian wheat prices react to transient
imbalances occurred in prices from the international market. Therefore, wheat prices in
international markets affect the price levels in Argentina.