The objective of the paper is to determine if the futures prices of hard red spring wheat (HRSW) have stabilizing or destabilizing impact on spot HRSW price in North America. Several important results emerge from thorough empirical analysis. First, both Granger causality tests and directed acyclic graph algorithms (DAGs) point to two‐way causality between futures and spot HRSW prices and thus endogeneity in both prices formation. To the contrary, both procedures suggest that ending stocks are exogenous to spot and futures HRSW prices. Both vector error correction model and impulse response functions point to a large and long‐lasting impact of a shock to futures price on spot price level. Finally, variance decomposition analysis indicates that futures prices are responsible for the bulk of spot price volatility in both short and long run. Our result is consistent with those of theoretical models suggesting that when production (supply side) is the dominant disturbance, spot price is destabilized in both the short and the long run by futures prices. An important implication of this research is the need for alternative market mechanisms or alternative farm policy measures that would mitigate price risk and ensure sustainable farming of American HRSW farmers.

中文翻译：

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期货市场对北美硬红春小麦现货价格的稳定作用

本文的目的是确定硬红春小麦（HRSW）的期货价格对北美HRSW现货价格有稳定还是不稳定的影响。透彻的经验分析得出了几个重要的结果。首先，格兰杰因果关系检验和有向无环图算法（DAG）都指出了期货与现货HRSW价格之间的双向因果关系，并因此指出了两种价格形成的内生性。相反，两种程序都表明期末存货对现货和期货HRSW价格是外生的。矢量误差校正模型和冲激响应函数都指出，期货价格震荡会对现货价格水平产生巨大而持久的影响。最后，方差分解分析表明，无论短期还是长期，期货价格都是现货价格波动的主要原因。我们的结果与理论模型相一致，这些理论模型表明，当生产（供应方）是主要的干扰时，现货价格在短期和长期中都会因期货价格而不稳定。这项研究的重要意义是需要替代市场机制或替代农业政策措施，以降低价格风险并确保美国HRSW农民的可持续耕种。