Time Series Evidence of Relationships Between U.S. and Canadian Wheat Prices
用协整和误差修正模型分析美加小麦价格关系，发现美国价格会响应以恢复均衡，而加拿大价格不响应，表明加拿大市场受美国影响小，支持美国生产者关于加拿大补贴损害其价格支持计划的说法。
In this paper, relationships between U.S. and Canadian wheat prices are examined using cointegration and error correction approach. The use of an error correction model is appropriate because U.S. and Canadian wheat prices are first differenced stationary and cointegrated. The results suggest that both U.S. durum and hard spring wheat prices respond to restore the equilibrium relationship with the corresponding Canadian price while the Canadian price does not respond to restore equilibria. That is, the structure of the respective policies is such that Canadian markets are largely insulated from influences flowing from the United States while U.S. markets are not insulated from Canadian influences. These results could be interpreted to support the contention of U.S. producers that Canadian production subsidies and implicit export subsides have undermined the U.S. price support program. These results also support the price leadership role for Canada in both the durum and hard spring wheat market.