Black Sea and World Wheat Market Price Integration Analysis

Abstract

In 2008–10, Russia and Ukraine together exported an average of 29 million tons of wheat per year, and have become important players in the international wheat market. This research summarizes the short‐ and long‐run wheat price dynamics between Ukraine and Russia, and other major wheat exporters—the United States, European Union (EU), and Canada—from 2004 to 2010. Tests of market price co‐integration (Johansen maximum likelihood test and residual‐based tests) as well as threshold error correction techniques were performed for this purpose. The results suggest that Russian wheat prices were co‐integrated with EU and U.S. wheat prices but not with Canadian wheat prices. Ukrainian wheat prices were found to be co‐integrated with French wheat prices only. The estimated long‐run wheat price transmission elasticities were estimated to be equal to 1.04 between Russian and French (a representative country of the EU) wheat prices, 1.16 between Russian and U.S. wheat prices, and 1.05 between Ukrainian and French wheat prices. We also found the short‐term relationships between the co‐integrated series to be statistically significant. Price adjustments in all co‐integrated prices were found to be symmetric.

Price relationships between qualitatively differentiated agricultural products: organic and conventional wheat in Germany

“…This finding implies that price formation of organic wheat tends, increasingly, to be oriented toward conventional prices. This also means that world market events are more strongly transmitted to domestic organic sectors because conventional wheat markets are closely integrated worldwide (Goychuk and Meyers, ).…”

Price transmission dynamics for quality‐certified food products: A comparison between conventional and organic fluid milk in Italy

“…The Threshold Autoregressive (TAR) model was first discussed by Tong () and later revisited by Enders and Granger (), who introduced a model variation, the Momentum‐TAR (M‐TAR), increasing the model's popularity since then (for recent research in agricultural economics applying a TAR framework, see Abdulai, ; Awokuse & Wang, ; Goychuk & Meyers, ; Han , Chung, & Surathkal, ; Lee & Gómez, ; Simioni et al., ; Surathkal, Chung, & Sungill, ; Tekgüç, , among others). Engle and Granger () showed that when two variables are cointegrated, an Error Correction Model (ECM) can be specified as where are prices at two different levels of the supply chain, β 0 is a constant term, the term inside the brackets specifies the error correction mechanism (i.e., ECT), and are matrices of short‐run parameters estimating the effect of shocks on and is a disturbance term .…”

“…See, among others, Abdelradi and Serra (); Ben‐Kaabia and Gil (, ); Brümmer et al. (); Busse, Brümmer, and Ihle (); Conforti (); Goychuk and Meyers (); Hassouneh, Serra, Bojnec, and Gil (); Listorti and Esposti (); Simioni et al. (); Tekgüç (); and Verreth et al.…”

Are Export Restrictions an Effective Instrument to Insulate Domestic Prices Against Skyrocketing World Market Prices? The Wheat Export Ban in Serbia

“…By decreasing exports, governments aimed to increase domestic supply, which should dampen domestic prices (Sharma, ; Mitra & Josling, ). Examples are the large grain exporting countries such as Russia, which implemented a wheat export tax (2007–2008) and an export ban (2010–2011), Kazakhstan with a wheat export ban in 2008, and Ukraine, which issued wheat export quotas during 2006–2008 and 2010–2011 (Goychuk & Meyers, ; Götz, Glauben, & Brümmer, ; Welton, ). On the other hand, grain importing countries reduced their trade barriers.…”