The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem
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References listed on IDEAS
- Michael S. Haigh & David A. Bessler, 2004.
"Causality and Price Discovery: An Application of Directed Acyclic Graphs,"
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University of Chicago Press, vol. 77(4), pages 1099-1121, October.
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- Adjemian, Michael K. & Janzen, Joseph & Carter, Colin A. & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.
More about this item
KeywordsCommodity prices; commodity bull cycle; energy prices; Granger-causality; graph theory; structural VAR.; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Demand and Price Analysis; Financial Economics; Research Methods/ Statistical Methods;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-16 (All new papers)
- NEP-ENE-2009-05-16 (Energy Economics)
- NEP-MAC-2009-05-16 (Macroeconomics)
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