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

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

Journal of Agricultural and Applied Economics, 2004, vol. 36, issue 01, 22

Abstract: 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.

Date: 2004
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Journal Article: Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:joaaec:42896

DOI: 10.22004/ag.econ.42896

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