The analysis of wheat prices using multiple structural breakpoint co-integration test

From 2005 to 2008, high volatility in the markets affected grain prices significantly. This made many researchers curious, and discussions aroused from this topic. study analyzes wheat price behavior during period of volatility. We estimate a return index for using spot futures with help present value model. To analyze cointegration between index, new test multiple structural breaks, developed by Daiki Maki (2012), is used. The long-run coefficients are estimated Dynamic Ordinary Least Squares methodology. empirical results show that there prices, which tends change at breakpoints. In other words, an equilibrium relation prices; however, it becomes unstable crisis 2008. may understanding dynamics especially high-volatility periods.