Exploiting Long Run Cointegration Properties of a Quarterly U.S. System of Wheat-Related Products

摘要

The methods of the cointegrated vector autoregression/vector error correction (VAR/VEC) model are applied to quarterly U.S. markets for wheat and for wheat-using products of wheat flour, mixes and doughs, bread, wheat-based breakfast cereals, and cookies and crackers. This study extends the recent and earlier reduced-form VAR econometric work done on these same markets, by dichotomizing the system into a long run error-correction space of economic relationships and a short run/deterministic component. Results include an array of empirical estimates of the parameters (some structural) and relationships that drive the wheat-related markets and govern their inter-action. An array of empirical estimates of market impacts on policy, institutional, and trade events is also provided.