Dynamic Relationships Among Selected U.S. Commodity-Based, Value Added Markets: Applying Directed Acyclic Graphs to a Time Series Model
AbstractThis paper demonstrates the application of a recently developed methodology, the combination of directed acyclic graphs (DAGs) with Bernanke structural vector autoregression (VAR) models, to model a system of U.S. commodity-related and value-added markets. As an example, the paper applies this methodology to a quarterly system of U.S. markets: the wheat market and a set of downstream milling and bakery markets that use wheat as an input. Analyses of the model's impulse response simulations and forecast error variance decompositions provide updated estimates of market elasticity parameters that drive these markets, and updated policy-relevant information on how these quarterly markets run and dynamically interact. Results suggest that movements in commodity-based markets strongly influence each other, although most of these effects occur in the long run beyond a single crop cycle. The paper illuminates how important U.S. food prices respond to wheat farm market shocks in price and quantity.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by United States International Trade Commission, Office of Industries in its series Working Paper ID Series with number 15879.
Date of creation: 2003
Date of revision:
Bernanke structural VARs; directed acyclic graphs; quarterly wheat-related markets; Industrial Organization; Marketing; Research Methods/ Statistical Methods;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
- Sneha Jonnala & Stephen Fuller & David Bessler, 2002. "A GARCH Approach to Modelling Ocean Grain Freight Rates," Maritime Economics and Logistics, Palgrave Macmillan, vol. 4(2), pages 103-125, June.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- David A. Bessler & Derya G. Akleman, 1998. "Farm Prices, Retail Prices, and Directed Graphs: Results for Pork and Beef," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(5), pages 1144-1149.
- Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- Goodwin, Harold L., Jr. & McKenzie, Andrew M. & Djunaidi, Harjanto, 2003. "Which Broiler Part is the Best Part?," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 35(03), December.
- David A. Bessler, 1984. "An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 109-124, 03.
- Babula, Ronald A. & Bessler, David A., 1989. "Farmgate, Processor, and Consumer Price Transmissions in the Wheat Sector," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 3.
- VAN BINH, Tu & DUMONT, Michel, 2008. "A fishing expedition in the Mekong Delta: Market volatility and price substitutes for Vietnamese fresh water fish," Working Papers 2008002, University of Antwerp, Faculty of Applied Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.