A Reexamination of Price Dynamics in the International Wheat Market
用协整和误差修正方法分析国际小麦市场价格关系，发现美国、澳大利亚、欧盟和阿根廷对加拿大定价有反应，但加拿大只对澳大利亚有反应，不存在明显的价格领导者。
This paper examines price relationships in the international wheat market using a cointegration and error correction approach. Price series are found to be first difference stationary and cointegrated. Our results provide evidence that the United States, Australia, the European Union, and Argentina react to Canada's pricing decisions whereas Canada does not respond to any other price changes except Australia's. Similarly, the United States also plays a strong role in the pricing of other exporters (except Canada) and its U.S. pricing decision is affected by changes in Canadian and Australian prices. The remaining exporters such as the European Union and Argentina respond to the U.S. and Canadian price changes but do not have any influence on other prices. Overall, our results suggest that there is no distinct price leader in the international wheat market.