TY - JOUR
T1 - Structural Breaks and the Relationship between Barley and Wheat Futures Prices on the London International Financial Futures Exchange
AU - Dawson, P.J.
AU - Sanjuan, A.I.
AU - White, Ben
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
U2 - 10.1111/j.1467-9353.2006.00324.x
DO - 10.1111/j.1467-9353.2006.00324.x
M3 - Article
VL - 28
SP - 585
EP - 594
JO - Review of Agricultural Economics
JF - Review of Agricultural Economics
SN - 1058-7195
IS - 4
ER -