INTEGRATION AND CAUSALITY IN INTERNATIONAL FREIGHT MARKETS--MODELING WITH ERROR CORRECTION AND DIRECTED ACYCLIC GRAPHS

Using Directed Acyclic Graphs (DAG's) and Error Correction Models we study the dynamics of the notoriously volatile international freight prices that comprise the Baltic Panamax Index, the index on which freight futures trading is based. The DAG's are used to make definitive statements about the contemporaneous correlations between prices and allow us to address the construction of the data-determined orthoganization on contemporaneous innovation covariance, critical in providing sound inference in innovation accounting techniques. Our results provide a rich source of information on price discovery over various time horizons and suggest that the index may not be appropriately comprised and weighted.


Issue Date:
2002
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/28558
Total Pages:
48
Series Statement:
Working Paper WP 02-11




 Record created 2017-04-01, last modified 2017-08-24

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