Abstract:
This dissertation investigates price linkages, price proportionality, and price leadership in international wheat and durum markets, where the econometric tools include causality and cointegration tests. The thesis consists of three introductory chapters, four empirical chapters and concluding remarks.

This dissertation makes several contributions. First, it is demonstrated that the Law of One Price can be tested both within a Granger causality setting for stationary prices and within the Johansen framework for non-stationary prices. The thesis also highlights the importance of the aggregation level by analysing the prices of different product qualities of wheat, and demonstrates that these will necessarily not be cointegrated. This has implications for the interpretation of results from previous more aggregated studies of the wheat market. Further, the thesis establishes market and product boundaries in the wheat and durum markets, and shows that the world wheat market is spatially integrated.

Key words: Law-of-one-price, causality, cointegration, Johansen tests, grain markets.

Lars Erik Aarstad was born in 1969 in Stavanger. He holds an MSc in agricultural and resource economics from the Agricultural University of Norway (1995), an MSc. in economics from the Norwegian School of Economics and Business Administration (1998), and a Dr.Scient in agricultural and resource economics from the Agricultural University of Norway (2000). Currently, he is at the National Bank of Norway, where he works as in the market operations department (phone: (+47) 2231 6000, telefax: (+47) 2241 3105). Professor Ole Gjølberg was the advisor for this thesis.

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