Causality in Relation to Futures and Cash Prices in the Wheat Market
Mutual interactions between the agricultural commodities futures market and the spot market are some of the most important relationships that can be observed between the financial market and the real economy. The process of the flow of price impulses between these markets has long been of interest t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-06-01
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| Series: | Agriculture |
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| Online Access: | https://www.mdpi.com/2077-0472/12/6/872 |
| _version_ | 1797490992159391744 |
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| author | Anna Szczepańska-Przekota |
| author_facet | Anna Szczepańska-Przekota |
| author_sort | Anna Szczepańska-Przekota |
| collection | DOAJ |
| description | Mutual interactions between the agricultural commodities futures market and the spot market are some of the most important relationships that can be observed between the financial market and the real economy. The process of the flow of price impulses between these markets has long been of interest to researchers. It is important both for stock market investors and agricultural producers, as well as for decision-makers responsible for food policy. The studies conducted so far do not provide unambiguous answers about the strength and direction of flows of price impulses. This is one example of the need for continuous process monitoring. Therefore, the aim of the study was to identify the process of the flow of price impulses between the futures market and the wheat spot market. The study was carried out based on the US example. The futures prices from the CBOT exchange and the wheat producer price index were analyzed. The data covers the period between 01.2010 and 01.2022. The Granger causality test and the VAR model were used for the study. The results are in the minority, as a causal relationship was obtained from the spot market to the futures market, which is a less common result. |
| first_indexed | 2024-03-10T00:40:06Z |
| format | Article |
| id | doaj.art-3ddf1bdcb9da4e7689022371be8ca677 |
| institution | Directory Open Access Journal |
| issn | 2077-0472 |
| language | English |
| last_indexed | 2024-03-10T00:40:06Z |
| publishDate | 2022-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Agriculture |
| spelling | doaj.art-3ddf1bdcb9da4e7689022371be8ca6772023-11-23T15:08:03ZengMDPI AGAgriculture2077-04722022-06-0112687210.3390/agriculture12060872Causality in Relation to Futures and Cash Prices in the Wheat MarketAnna Szczepańska-Przekota0Faculty of Economic Science, Koszalin University of Technology, Kwiatkowskiego 6E, 75-343 Koszalin, PolandMutual interactions between the agricultural commodities futures market and the spot market are some of the most important relationships that can be observed between the financial market and the real economy. The process of the flow of price impulses between these markets has long been of interest to researchers. It is important both for stock market investors and agricultural producers, as well as for decision-makers responsible for food policy. The studies conducted so far do not provide unambiguous answers about the strength and direction of flows of price impulses. This is one example of the need for continuous process monitoring. Therefore, the aim of the study was to identify the process of the flow of price impulses between the futures market and the wheat spot market. The study was carried out based on the US example. The futures prices from the CBOT exchange and the wheat producer price index were analyzed. The data covers the period between 01.2010 and 01.2022. The Granger causality test and the VAR model were used for the study. The results are in the minority, as a causal relationship was obtained from the spot market to the futures market, which is a less common result.https://www.mdpi.com/2077-0472/12/6/872wheatfuturesspotcausalityprice transmission |
| spellingShingle | Anna Szczepańska-Przekota Causality in Relation to Futures and Cash Prices in the Wheat Market Agriculture wheat futures spot causality price transmission |
| title | Causality in Relation to Futures and Cash Prices in the Wheat Market |
| title_full | Causality in Relation to Futures and Cash Prices in the Wheat Market |
| title_fullStr | Causality in Relation to Futures and Cash Prices in the Wheat Market |
| title_full_unstemmed | Causality in Relation to Futures and Cash Prices in the Wheat Market |
| title_short | Causality in Relation to Futures and Cash Prices in the Wheat Market |
| title_sort | causality in relation to futures and cash prices in the wheat market |
| topic | wheat futures spot causality price transmission |
| url | https://www.mdpi.com/2077-0472/12/6/872 |
| work_keys_str_mv | AT annaszczepanskaprzekota causalityinrelationtofuturesandcashpricesinthewheatmarket |