A Cointegration Analysis of Wool Prices

Based on cointegration analysis and monthly data from 1976.8 to 1999.10, a long-run equilibrium relationship was found to exist between prices for wools of 19 to 23 microns, despite the wool Reserve Price Scheme operated until February 1991. Furthermore, the prices for 19, 20 and 21 micron wools were found to be weakly exogenous. The latter result suggested that, although co-integrated, prices for finer wools tended to be less volatile than coarser wools. The implications are that wool producers would enjoy more stable prices by producing finer wools and that cross-hedging is possible given co-movements of prices.


Issue Date:
2000
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/12929
Total Pages:
24
Series Statement:
Working Paper 2000-10




 Record created 2017-04-01, last modified 2017-08-23

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