Abstract
In this paper we examine the relationship over time of the No. 11 (World) and the No. 14 (US) sugar futures contracts, traded on the New York Coffee, Sugar and Cocoa Exchange. Using daily price data for a 14 year period, we examine statistical linkages between domestic and world futures contracts. Our results suggest that the US and world markets exhibit strong linkages during periods when US imports are under tariff (1977–1982), but the US market is effectively insulated from world price changes by the operation of the quota program (1982–1990). The pattern of causality runs from the world to the US market during the tariff period. The US market does not appear to influence world market prices during either the tariff or the quota period.
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