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Lookup NU author(s): Dr Philip Dawson,
Dr Ana Sanjuan,
Dr Benedict White
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Co-movement between futures prices can arise when commodities are substitutes. Counterintuitively, Dawson and White fail to find a significant long-run link between feed barley and wheat prices on the London International Financial Futures Exchange. This relationship is re-examined using Johansen, Mosconi, and Nielsen's co-integration procedure that permits structural breaks. Results show evidence of co-integration and hence price discovery. There is a significant break in October 2000 following Common Agricultural Policy intervention price reductions, the barley-wheat futures market is perfectly integrated, and the barley price Granger-causes the wheat price. Modeling structural breaks in price relationships appears important. © 2006 American Agricultural Economics Association.
Author(s): Dawson PJ, Sanjuan AI, White B
Publication type: Article
Publication status: Published
Journal: Review of Agricultural Economics
ISSN (print): 1058-7195
ISSN (electronic): 2040-5804
Publisher: Oxford University Press
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