EU WHEAT PRICES AND ITS RELATION WITHOTHER MAJOR WHEAT EXPORT PRICES

Cointegration analysis is used to investigate the short and long run dynamics of therelationship between the export prices of the EU wheat and of other major exporters inthe world wheat market. The aim of this study is to determine whether long runrelationships existed between EU prices and its major competitors. Based on monthlydata from 1980 to 1998, the results show that most of the prices are cointegrated.Furthermore, the export prices of the major competitors were found to be weaklyexogenous to the EU prices. The latter result may be an indication that the EU sets itsexport subsidies in relation to prices of competing wheat exporting countries.