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

Ronald A. Babula (), David A. Bessler () and Warren S. Payne

Journal of Agricultural & Applied Economics, 2004, vol. 36, issue 1, pages 1-22

Abstract: Using advanced methods of directed acyclic graphs (DAGs) with Bernanke structural vector autoregression (VAR) 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.

Keywords: Bernanke structural VARs; directed acyclic graphs; quarterly wheat-related markets (search for similar items in EconPapers)
JEL-codes: C22 Q11 (search for similar items in EconPapers)

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Journal of Agricultural & Applied Economics is edited by Jeffrey M. Gillespie

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