The Price Shock Transmission during the 2007-2008 Commodity Bull Cycle: A Structural Vector Auto-Regression Approach to the "Chicken-or-Egg" Problem
Download full text from publisher
References listed on IDEAS
- Michael S. Haigh & David A. Bessler, 2004.
"Causality and Price Discovery: An Application of Directed Acyclic Graphs,"
The Journal of Business,
University of Chicago Press, vol. 77(4), pages 1099-1121, October.
- 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.
- Haigh, Michael S. & Bessler, David A., 2002. "Causality And Price Discovery: An Application Of Directed Acyclic Graphs," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19057, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- 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.
- 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, Cambridge University Press, vol. 36(01), pages 1-22, April.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aaea09:49538. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/aaeaaea.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.