Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model

Using advanced methods of directed acyclic graphs with Bernanke structural vector autoregression models, this article extends recent econometric research on quarterly U.S. markets for wheat and wheat-based value-added products downstream. Analyses of impulse response simulations and forecast error variance decompositions provide updated estimates of market elasticity parameters that drive these markets, and updated policy-relevant information on how these quarterly markets run and dynamically interact. Results suggest that movements in wheat and downstream wheat-based markets strongly influence each other, although most of these effects occur at the longer-run horizons beyond a single crop cycle.


Issue Date:
2004-04
Publication Type:
Journal Article
Record Identifier:
http://ageconsearch.umn.edu/record/42896
PURL Identifier:
http://purl.umn.edu/42896
Published in:
Journal of Agricultural and Applied Economics, Volume 36, Number 1
Page range:
1-22
Total Pages:
22
JEL Codes:
C22; Q11




 Record created 2017-04-01, last modified 2018-01-22

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