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Chinese wheat price analysis - with application of cointegration and Granger causality test

Traditional demonstration of price fluctuation in the wheat market, by the theory of supply and demand is not comprehensive enough. With limited understanding of macroeconomic effects on the wheat market, accurate prediction of wheat price is impossible. Given the Chinese self—sustainable food policy, grain imports is a sensitive topic which may incur fierce argument. In this paper, however, I emphasize effect of exchange rate on nominal wheat price. By application of the cointegration theory, CPI shows slight negative correlation with nominal wheat price, yet GDP and population move in the same direction as the wheat price. The cointegration study of exchange rate implies, with appreciating Chinese RMB, domestic buyers incline to purchase wheat from the cheaper foreign market. According to the Granger causality test, the whole package of variables suggests significant causal relation with the wheat price.

Identiferoai:union.ndltd.org:GATECH/oai:smartech.gatech.edu:1853/52978
Date12 January 2015
CreatorsGuo, Yuanxiang
ContributorsBesedes, Tibor
PublisherGeorgia Institute of Technology
Source SetsGeorgia Tech Electronic Thesis and Dissertation Archive
Languageen_US
Detected LanguageEnglish
TypeThesis
Formatapplication/pdf

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