Using Cointegrated VAR Modeling to Comparatively and Empirically Assess Effects of Alternatively-Focused Policies on U.S. Soft Wheat Markets

摘要

After establishing the importance to policy formation and analysis of U.S. wheat product markets, the paper extends prior research on quarterly U.S. all-wheat product markets by applying, for the first time, cointegrated VAR modeling to a monthly system of U.S. soft wheat markets that includes a soft wheat futures market linkage. The study then uses the estimated upstream/downstream U.S. soft wheat market product model to comparatively and empirically assess the effectiveness of two sets of policies/events in influencing and managing the markets through price: selected commodity-focused farm/trade policies/events vs. those focused on financial and futures markets. First time empirical econometric assessments are generated that demonstrate that the policies/events with a commodity focus are more than doubly effective than financial/futures policies/events in influencing and managing the modeled soft wheat-based markets, and any patterns of wheat-based food price inflation that should arise. Resultsprovide the first empirical estimates of how financial/futures market events/policies have real, statistically strong effects on the modeled soft wheat-based markets. Policy insights for the modeled soft wheat markets are also provided concerning trade agreements and trade remedies such as TRQs and dumping/countervailing duty orders.