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Structural breaks, the export enhancement program and the relationship between Canadian and US hard wheat prices

Lookup NU author(s): Dr Philip Dawson, Dr Ana Sanjuan

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Abstract

This paper examines the long-term relationship between the export prices of Canadian and US hard wheat and the effects of the US Export Enhancement Program (EEP). Using monthly prices for 1974-2001, we adopt the cointegration procedure of Johansen et al. (2000) which permits structural breaks. Results show that a long-term relationship exists, and there are two breaks that coincide with the EEP. The first break is in late 1985 when the long-term US/Canadian price ratio fell by 5.5%, while the second is in early 1995 when it increased by 9.2%. Weak exogeneity tests imply that Canada is the price leader, and impulse responses show that long-term equilibrium is restored within five months following a shock to either price. © Blackwell Publishing Ltd. 2006.

Publication metadata

Author(s): Dawson PJ, Sanjuán AI

Publication type: Article

Publication status: Published

Journal: Journal of Agricultural Economics

Year: 2006

Volume: 57

Issue: 1

Pages: 101-116

ISSN (print): 0021-857X

ISSN (electronic): 1477-9552

Publisher: Wiley-Blackwell

URL: http://dx.doi.org/10.1111/j.1477-9552.2006.00034.x

DOI: 10.1111/j.1477-9552.2006.00034.x

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