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Lookup NU author(s): Dr Philip Dawson,
Dr Ana Sanjuan
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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.
Author(s): Dawson PJ, Sanjuán AI
Publication type: Article
Publication status: Published
Journal: Journal of Agricultural Economics
ISSN (print): 0021-857X
ISSN (electronic): 1477-9552
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