RT Journal Article
SR Electronic
A1 Syrovátka, Pavel
T1 Analysis of price interactions between Czech and world wheat markets
JF Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
YR 2014
VO 58
IS 6
SP 533
OP 542
DO 10.11118/actaun201058060533
UL https://acta.mendelu.cz/artkey/acu-201006-0053.php
AB The paper is focused on the analysis of the price interactions between the Czech and world markets for the wheat. The long-term interactions of the wheat market prices were tested by means of the co-integration analysis (Engle-Granger test). The dynamic autoregressive model developed by the author was used for evaluation of the short-term price interactions. Monthly time series of the market prices from January 1995 till April 2010 were obtained from the Czech Statistical Office and the International Monetary Fund. The results of the co-integration analysis showed, that the price dynamics in the world wheat market does not have a long-term impact on the level of prices in the Czech market for the given commodity. According to the constructed and statistically verified model, the short-term price interactions between the studied markets are not strong too. The value of the determination index (0.5063) implies other factors forming the price dynamics of the Czech wheat market.