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Abstract
Dynamic relationships among three classes of wheat are investigated using threshold
VAR models that incorporate the effects of protein availability. Changes in the stock of
protein are found to generate significant responses in the prices of hard red spring wheat
and hard red winter wheat, but not soft red wheat. The responses to identical changes in
protein stocks are larger when the magnitudes of deviations of protein stocks from
normal levels are large. Shocks to the prices of individual classes of wheat result in
complex responses in the prices of the other wheat classes. Notably, however, a shock to
the price of hard red winter wheat appears to result in little or no response in the price of
hard spring wheat, though importantly, the opposite is not true.