Transportation rates are vital components in the structure of U.S. grain exports. In this paper we study the dynamic properties of corn and soybean prices, and barge, rail and ocean shipping rates using time series analysis on monthly 1992-2001 data. Using Error Correction Model and Directed Acyclic Graphs, we capture the interconnectivity between the transportation rates and grain prices at selected domestic and export markets. We find Illinois processor prices are important sources of price discovery for both corn and soybeans. Further, barge rates explain about 2-4% of the variation in grain prices while rail rates explain about 10-12% of the variation in corn and soybean prices.