Measuring price discovery in the European wheat market using the partial cointegration approach
结合部分协整与状态空间模型，生成欧洲小麦市场随时间变化的价格发现指标，发现期货市场在效率上主导价格发现，但在高波动期主导性减弱，且现货与期货价格的长期关系受小麦收成质量变化和期货价格串联影响。
Abstract Understanding price discovery in agricultural spot and futures markets is important for market participants and policy makers, because it can contribute to better management decisions and more informed policy debates on market regulation. Combining partial cointegration with state space modelling, we generate time-varying price discovery metrics for the European wheat market that allow for shifts in the long-run relationship. We find that the futures market dominates price discovery in terms of efficiency, but that this dominance is reduced in phases of higher price volatility. We find evidence of persistent shocks in the long-run relationship between spot and futures prices that appear to be related to variations in the quality of the wheat harvest, and to the concatenation of the futures prices.