International markets impact on wheat prices in the Republic of North Macedonia

Abstract

The production of wheat, as one of the elementary and strategic nutrition crops, in North Macedonia is insufficient and cannot meet the national demands, which results with negative trade balance with import of 74,937 tons of wheat valued at 17.9 million EUR. The main goal of this paper is to analyse the influence of international markets on wheat prices in the Republic of North Macedonia. Data on the purchase price of wheat have been analysed using statistical methods and models from December 2009 to December 2021. A total of 145 monthly time series with data on the purchase price of wheat for Macedonia, the EU, Bulgaria, Romania and Serbia have been analysed and compared. The Pearson correlation coefficient shows a relatively high relationship and mutual dependence of purchase prices in Macedonia, compared to prices in the EU, Bulgaria, Romania and Serbia (over 65%). The purchase prices of wheat in Macedonia have the highest relationship and mutual dependence with the price movement in Serbia (0.78), and the lowest with the price movement in the EU (0.66). The estimated lag length of the autoregressive process (AIC, BIC, FPE and HQIC tests), on average shows 2 lags (months) later time reaction of the wheat prices in Macedonia with the comparison countries countries. The forecasting model (Granger causality test) shows that time series of wheat prices can be convenient for forecasting wheat prices in Macedonia. As of October 2021, the model clearly shows the impact of food economic crisis and unexpected, immediate rise of wheat prices as result of the post Covid-19 and Ukraine war crisis. This research and analysis model can provide significant information for the wheat price trends, forecasting and markets shock, as management and decision-making tools for producers, traders and processors, but also for the policy makers.