Market Integration and Price Discovery in California’s Almond Marketing: A Vector Auto-Regressive (VAR) Approach

  •  Pei Xu    
  •  Todd Lone    
  •  Naydith Torres    


California almonds production and marketing have been the focus of the state’s economy. Since almonds are a high-cost food product facing high market price volatility, reducing price forecasting error increases the likelihood of success (profitability) at the farm level. By focusing on the linkage between the local wholesale inshell price from 2015 to 2021 and international export prices to major trading partners in Europe and Eastern Asian countries, this study contributes to understanding how export prices affect the farm level wholesale price and what causes price shocks in the system. A clear result of this study is farmers can rely on current market price when forecasting local almond price in the short run of upcoming two months.  This study also finds the California local almond wholesale market is integrated into the world almond market, as well as the markets of its trading partners in Europe and East Asia. Specifically, when U.S. export price to the world increase in the current month, its export price to East Asian countries will automatically adjust and decrease in the following months. Lastly, analysis of the sample of prices considered in this study does not establish a long-run equilibrium nor market price integration.

This work is licensed under a Creative Commons Attribution 4.0 License.