@article{Etienne:285810,
      recid = {285810},
      author = {Etienne, Xiaoli L. and Irwin, Scott H.},
      title = {A Structural Approach to Disentangling Speculative and  Fundamental Influences on the Price of Corn},
      address = {2014-04},
      series = {NCCC-134 Applied Commodity Price Analysis, Forecasting,  and Market Risk Management},
      year = {2014},
      abstract = {Corn prices experienced enormous volatility over the last  decade. In this paper, we apply a structural vector  autoregression model to quantify the relative importance of  various contributing factors in driving corn price  movements. The identification of structural parameters is  achieved through a data-determined approach—the PC  algorithm of Directed Acyclic Graphs. We find that, in  general, unexpected shocks in aggregate global demand and  speculative trading activities do not have a statistically  significant effect on corn price movements. By contrast,  shocks in the crude oil market have large immediate effects  that persist in the long-run. The forecast error variance  decomposition suggest that at the two-year horizon,  variations in crude oil prices account for over 50% of the  total corn forecast error variances. We also find that,  consistent with theory, unexpected shocks in  market-specific fundamentals also have large negative  effects on price movements. In addition, unexpected  residual shocks play an important role in corn price  movement, especially in the short-run.},
      url = {http://ageconsearch.umn.edu/record/285810},
      doi = {https://doi.org/10.22004/ag.econ.285810},
}