RESEARCH PAPER
THE ANALYSIS OF GRANGER CAUSALITY ON THE POLISH CEREALS MARKET IN 2007-2011
 
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Szkoła Główna Gospodarstwa Wiejskiego Warszawa
Publication date: 2013-03-19
Acceptance date: 2013-03-19
 
Zagadnienia Ekonomiki Rolnej / Problems of Agricultural Economics 2013;334(1):59–72
ABSTRACT
The objective of the paper was to analyse the Granger causality on the Polish cereals market. The analysis concerned the 2007-2011 period. The empirical data are average weekly crop prices gathered in the Integrated Agricultural Market Information System and accessible at the website of the Ministry of Agriculture and Rural Development. Their logarhythmic growths constituted a basis for selected descriptive statistics, and then, the normal distribution and the stationary of time series were verified. The last stage of the analysis was the analysis of Granger causality. To answer the question, whether price changes of a given cereal type are a Granger cause of price changes among another cereal types, Granger test with verification in the form of Wald statistic was used. The results obtained revealed the occurrence of Granger causality in the analysed period, albeit not for all cereal types.
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ISSN:0044-1600