Causality and Price Discovery: An Application of Directed Acyclic Graphs

Michael S. Haigh and David Bessler ()
Additional contact information
Michael S. Haigh: U.S. CFTC and University of Maryland

The Journal of Business, 2004, vol. 77, issue 4, 1099-1121

Abstract: Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced by both the transportation and commodity export markets. However, the commodity markets affect the volatility of the transportation market over longer horizons. Our results suggest that transportation rates are critical in the price discovery process lending support for the recent development of exchange traded barge rate futures contracts.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://dx.doi.org/10.1086/422632 main text (application/pdf)
Access to the online full text or PDF requires a subscription.

Related works:
Working Paper: CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS (2002)
Working Paper: CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:77:y:2004:i:4:p:1099-1098

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().