Understanding price discovery in agricultural spot and futures markets is important for market participants and policy makers, because it can contribute to better management decisions and more informed policy debates on market regulation. Combining partial cointegration with state space modelling, we generate time-varying price discovery metrics for the European wheat market that allow for shifts in the long-run relationship. We find that the futures market dominates price discovery in terms of efficiency, but that this dominance is reduced in phases of higher price volatility. We find evidence of persistent shocks in the long-run relationship between spot and futures prices that appear to be related to variations in the quality of the wheat harvest, and to the concatenation of the futures prices.

中文翻译：

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使用部分协整方法测量欧洲小麦市场的价格发现

了解农产品现货和期货市场中的价格发现对市场参与者和政策制定者很重要，因为它可以有助于做出更好的管理决策和更明智的市场监管政策辩论。将部分协整与状态空间建模相结合，我们为欧洲小麦市场生成了随时间变化的价格发现指标，该指标允许长期关系发生变化。我们发现，就效率而言，期货市场在价格发现中占主导地位，但是在较高的价格波动阶段，这种主导地位会降低。我们发现现货和期货价格之间长期关系持续受到冲击的迹象，这似乎与小麦收成质量的变化以及期货价格的级联有关。