Harvest-Time Protein Shocks and Price Adjustment in U.S. Wheat Markets
By: Goodwin, Barry K.; Smith, Vincent H.
Goodwin, Barry K.; Smith, Vincent H., Harvest-Time Protein Shocks and Price Adjustment in U.S. Wheat Markets, Journal of Agricultural and Resource Economics, Volume 34, Issue 2, August 2009, Pages 237-255
Dynamic relationships among three classes of wheat are investigated using threshold VAR models that incorporate the effects of protein availability. Changes in the stock of protein are found to generate significant responses in the prices of hard red spring wheat and hard red winter wheat, but not soft red wheat. The responses to identical changes in protein stocks are larger when the magnitudes of deviations of protein stocks from normal levels are large. Shocks to the prices of individual classes of wheat result in complex responses in the prices of the other wheat classes. Notably, however, a shock to the price of hard red winter wheat appears to result in little or no response in the price of hard spring wheat, though importantly, the opposite is not true.