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The Effect of Risk on Price Levels and Margins in International Wheat Markets
Author(s) -
Jayne Thomas S.,
Myers Robert J.
Publication year - 1994
Publication title -
applied economic perspectives and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.4
H-Index - 49
eISSN - 2040-5804
pISSN - 2040-5790
DOI - 10.2307/1349521
Subject(s) - economics , agricultural economics , monetary economics , financial economics , international economics
The effects of price risk on equilibrium price levels and marketing margins in U.S.‐Japan wheat trade are analyzed in this article. This issue is investigated using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) model. In both the short and long run, increased wheat price risk has little effect on U.S. export prices, but positively affects Japanese import prices and the size of the international marketing margin. However, the impact of price risk appears to be fairly small except during extremely volatile periods, such as during the mid‐1970's.