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Modeling U.S. Soy-Based Markets with Directed Acyclic Graphs and Bernanke Structural VAR Methods: The Impacts of High Soy Meal and Soybean Prices

  • Babula, Ronald A.
  • Bessler, David A.
  • Reeder, John
  • Somwaru, Agapi

Advanced methods that combine directed acyclic graphs with Bernanke structural vector autoregression models are applied to a monthly system of three U.S. soy-based markets: for soybeans upstream and for the two soybean co-products soy meal and soy oil further downstream. Analyses of the impulse-response function and forecast error variance decompositions provide updated estimates of market-elasticity parameters that drive these markets and updated policy-relevant information on how these monthly markets run and dynamically interact. Results characterize impacts on the three U.S. soy-based markets of increases in U.S. prices of soy meal and soybeans.

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File URL: http://purl.umn.edu/27559
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Article provided by Food Distribution Research Society in its journal Journal of Food Distribution Research.

Volume (Year): 35 (2004)
Issue (Month): 03 (November)
Pages:

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Handle: RePEc:ags:jlofdr:27559
Contact details of provider: Web page: http://fdrs.ag.utk.edu/

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  1. David A Bessler & Jian Yang & Metha Wongcharupan, 2003. "Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs," Journal of Regional Science, Wiley Blackwell, vol. 43(1), pages 1-33.
  2. 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.
  3. 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.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
  6. Ronald A. Babula & Phil L. Colling & Gregory R. Gajewski, 1994. "Dynamic impacts of rising lumber prices on housing-related prices," Agribusiness, John Wiley & Sons, Ltd., vol. 10(5), pages 373-388.
  7. Saghaian, Sayed H. & Hasan, Mohamad F. & Reed, Michael R., 2002. "Overshooting Of Agricultural Prices In Four Asian Economies," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 34(01), April.
  8. 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.
  9. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  10. Haigh, Michael S. & Bessler, David A., 2002. "Causality And Price Discovery: An Application Of Directed Acyclic Graphs," Working Papers 28588, University of Maryland, Department of Agricultural and Resource Economics.
  11. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
  12. 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.
  13. repec:jaa:jagape:v:35:y:2003:i:3:p:483-495 is not listed on IDEAS
  14. 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.
  15. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  16. Babula, Ronald A. & Bessler, David A. & Payne, Warren S., 2004. "Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(01), April.
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