Integración espacial del mercado de trigo chileno, utilizando un Modelo de corrección de errores: Análisis de cointegración

Translated title of the contribution: Market integration for Chilean wheat prices using vector error correction models (VECM), a cointegration analysis

RODRIGO ANDRES VALDES SALAZAR, Stephan von Cramon-Taubadel, José Díaz

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

Historically Chile has been a wheat net importer country. This situation, added to the small size of its economy, causes that the domestic price of this cereal is highly influenced by import prices of substitute wheat. This research analyzed the integration level of the Chilean wheat market with respect to the USA and Argentinean markets using a vector error correction model (VECM), the impact of the band prices (D-BAND) and the change of the band mechanism introduced in 2004 (D-MECH) by the inclusion of two binary variables in the VECM. The results showed strong market integration among Argentina, Chile and USA, with USA leading the market. Additionally, the price of the Chilean wheat was influenced by the USA and Argentina prices. The binary variables, included in the models, showed that this system had been useful to protect the domestic market by reducing the fluctuations of the wheat prices (D-BAND), and the new mechanism performs as a protection over the international fluctuations (D-MECH). Both coefficients presented non-significative values, probably due to the difference among the input cost and the domestic price support mechanism, the sub-valuated commodities markets, increment on cereal price levels, inflationary scenarios and low number of observations.

Translated title of the contributionMarket integration for Chilean wheat prices using vector error correction models (VECM), a cointegration analysis
Original languageSpanish
Pages (from-to)5-14
Number of pages10
JournalCiencia e Investigacion Agraria
Volume38
Issue number1
StatePublished - Jan 2011
Externally publishedYes

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