POWIĄZANIA PRZYCZYNOWE MIĘDZY CENAMI PSZENICY W POLSCE I NIEMCZECH
– ANALIZA W DZIEDZINIE CZĘSTOTLIWOŚCI
CAUSAL LINKS BETWEEN WHEAT PRICES IN POLAND AND GERMANY – A FREQUENCY DOMAIN APPROACH
Author(s): Mariusz HamulczukSubject(s): Economy, Agriculture, International relations/trade, Methodology and research technology
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: causality; vertical price transmission; spectral analysis; wheat prices;
Summary/Abstract: Granger causality analysis in the time domain does not allow answering the question whether causality is the result of the transmission of low or high frequency signals. In this study, the Breitung-Candelon test was applied to assess Granger causality in the frequency domain for weekly prices of feed wheat in Poland and Germany in the years 2005-2013. The study confirms the existence of Granger causality between prices indicating that the transmission of price signals from the German to Polish market refers to low frequency cycles.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVI/2015
- Issue No: 3
- Page Range: 83-92
- Page Count: 10
- Language: Polish