A Global Vector Autoregression Model for the Analysis of Wheat Export Prices

18 Pages Posted: 15 Apr 2020

See all articles by L. Gutierrez

L. Gutierrez

Università degli Studi di Sassari

Francesco Piras

University of Florence

Pier Paolo Roggero

affiliation not provided to SSRN

Date Written: October 2015

Abstract

Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, and there is an urgent need for appropriate policy responses. Perhaps new approaches are needed to better understand international spill‐overs, the feedback between the real and the financial sectors, as well as the link between food and energy prices. In this article, we present the results from a new worldwide dynamic model that provides the short and long‐run impulse responses of the international wheat price to various real and financial shocks.

Keywords: Global dynamic models, price analysis, wheat market

Suggested Citation

Gutierrez, Luciano and Piras, Francesco and Paolo Roggero, Pier, A Global Vector Autoregression Model for the Analysis of Wheat Export Prices (October 2015). American Journal of Agricultural Economics, Vol. 97, Issue 5, pp. 1494-1511, 2015, Available at SSRN: https://ssrn.com/abstract=3574260 or http://dx.doi.org/10.1093/ajae/aau103

Luciano Gutierrez (Contact Author)

Università degli Studi di Sassari ( email )

Piazza Universita
Sassari, 07100
Italy

Francesco Piras

University of Florence ( email )

Piazza di San Marco, 4
Florence, 50121
Italy

Pier Paolo Roggero

affiliation not provided to SSRN

No Address Available

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