Abstract
The effects of price risk on equilibrium price levels and marketing margins in U.S.-Japan wheat trade are analyzed in this article. This issue is investigated using a bivariate generalized autoregressive conditional heteroscedastic (GARCH) model. In both the short and long run, increased wheat price risk has little effect on U.S. export prices, but positively affects Japanese import prices and the size of the international marketing margin. However, the impact of price risk appears to be fairly small except during extremely volatile periods, such as during the mid-1970's.
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