Structural Changes in Wheat Market

Main Article Content

Katarzyna Czech

Abstrakt
Time series analysis is based on the assumption of stationarity. Stationarity implies the parameters are constant over time. Structural break occurs when at least one of the parameters changes at some date. Structural breaks can lead to huge forecasting errors and unreliability of the model. Modelling structure breaks is very popular in the literature of macroeconomics and finance. However, there are still too few publications about structural breaks in agricultural market. The goal of research is to identify structural breaks in wheat prices time series. A few structural break tests are applied. It has been shown that there is at least one significant structural break in the analysed time series. Both Quandt-Andrews and Bai-Perron tests show that there is a significant breakpoint in 12.09.2007. The estimated break date is associated with the beginning of global financial crisis. It may imply that wheat prices have become more prone to changes in global financial market.

Article Details

Jak cytować
Czech, K. (2016). Structural Changes in Wheat Market. Zeszyty Naukowe SGGW W Warszawie - Problemy Rolnictwa Światowego, 16(4), 92–98. https://doi.org/10.22630/PRS.2016.16.4.102
Bibliografia

Aggarwal, R., Inclan, C., Leal, R. (1999). Volatility in Emerging in Stock Markets. Journal of Financial and Quantitative Analysis, Vol. 34, 33-55. (Crossref)

Andrews, D.W.K. (1993). Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica, Vol. 61, No. 4, 821-856. (Crossref)

Andrews, D.W.K., Ploberger, W. (1994). Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative. Econometrica, Vol. 62, No. 6, 1383-1414. (Crossref)

Baffes, J., Haniotis, T. (2010). Placing the 2006/08 Commodity Price Boom into Perspective. The World Bank Policy Research Working Paper No. 5371, 1-40. (Crossref)

Bai, J., Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, Vol. 66, No. 1, 47-78. (Crossref)

Bai, J., Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, Vol. 18, 1-22. (Crossref)

Chow, G.C. (1960). Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica, Vol. 23, No. 3, 591-605. (Crossref)

Czech, K. (2013). Speculation in the Agricultural Commodity Market, Scientific Journal Warsaw University of Life Sciences – SGGW Problems of Worlds Agriculture, Vol. 13, No. 4, 10-17.

Domanski, D., Heath, A. (2007). Financial Investors and Commodity Markets. Bank for International Settlements Quarterly Review March, 53-67.

Dufour, J.M. (1982). Generalized Chow Tests for Structural Change: A Coordinate-Free Approach. International Economic Review, Vol. 23, No. 3, 565-575. (Crossref)

Hansen, B.E. (1997). Approximate Asymptotic P-Values for Structural-Change Tests. Journal of Business and Economic Statistics, Vol. 15, No. 1, 60-67. (Crossref)

Hansen, B.E. (2001). The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity. Journal of Economic Perspectives, Vol. 15, No. 4, 117-128. (Crossref)

Jin, H.J., Miljkovic, D. (2010). An Analysis of Multiple Structural Breaks in US Relative Farm Prices. Applied Economics, Vol. 42, No. 25, 3253-3265. (Crossref)

Malik, F. (2003). Sudden Changes in Variance and Volatility Persistence in Foreign Exchange Markets. Journal of Multinational Financial Management, Vol. 13, No. 3, 217-230. (Crossref)

Narayan, P.K., Narayan, S., Sharma, S. (2013). An analysis of commodity markets: What gain for investors? Financial Econometrics Series, No. 2, 1-47.

Quandt, R. (1960). Tests of the Hypothesis that a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association, Vol. 55, 324-330. (Crossref)

Rapach, D.E., Strauss, J.K. (2008). Structural Breaks and GARCH Models of Exchange Rate Volatility. Journal of Applied Econometrics, Vol. 23, No. 1, 65-90. (Crossref)

Zainudin, R., Shaharudin, R.S. (2011). An Investigation of Structural Breaks on Spot and Futures Crude Palm Oil Returns. Australian Journal of Basic and Applied Sciences, Vol. 5, No. 9, 1872-1885.

Statystyki

Downloads

Download data is not yet available.