IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs

  • Babula, Ronald A.
  • Bessler, David A.
  • Rogowsky, Robert A.

This paper applies a combined methodology of a recently developed directed acyclic graph (DAG) analysis with Johansen and Juselius' methods of the cointegrated vector autoregression (VAR) model to a monthly U.S. system of markets for soybeans, soy meal, and soy oil. Primarily a methods paper, Johansen and Juselius' procedures are applied, with a special focus on statistically addressing information inherent in well-known sources of non-normal data behavior to illustrate the effectiveness of modeling the system as a cointegrated multi-market system. Perhaps for the first time, methods of the cointegrated VAR model are combined with DAG analysis to account for contemporaneously correlated residuals, and are applied to this U.S. soy-based system. Analysis of the error correction or cointegration space illuminates the empirical nature of policy-relevant market elasticities, price transmission parameters, and effects of important policy and institutional changes/events on U.S. soy-related markets at long-run horizons beyond a single crop cycle. A statistically strong U.S. demand for soybeans emerged as the primary cointegrating relation in the error-correction space. Analysis of the DAG-adjusted cointegrated VAR model's forecast error variance decomposition illuminates how the soy-related variables and the three U.S. soy product markets dynamically interact at alternative time horizons extending up to two-years.

If 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.

File URL: http://purl.umn.edu/15880
Download Restriction: no

Paper provided by United States International Trade Commission, Office of Industries in its series Working Paper ID Series with number 15880.

as
in new window

Length:
Date of creation: 2005
Date of revision:
Handle: RePEc:ags:uitcoi:15880
Contact details of provider: Postal: 500 E Street SW, Washington, DC 20436
Web page: http://www.usitc.gov/Email:


More information through EDIRC

References listed on IDEAS
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.:

as in new window
  1. 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.
  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. Swanson, N.R. & Granger, C.W.J., 1994. "Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions," Papers 9-94-1, Pennsylvania State - Department of Economics.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. 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.
  6. 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.
  7. 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.
  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. 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.
  10. Sims, Christopher A., 1988. "Bayesian skepticism on unit root econometrics," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 463-474.
  11. repec:jaa:jagape:v:35:y:2003:i:3:p:483-495 is not listed on IDEAS
  12. repec:jaa:jagape:v:36:y:2004:i:1:p:1-22 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ags:uitcoi:15880. 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)

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

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 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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.