EconPapers    
Economics at your fingertips  
 

Dissecting Corn Price Movements with Directed Acyclic Graphs

Xiaoli Etienne (), Scott Irwin and Philip Garcia

No 151279, 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association

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 the 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.

Keywords: Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 37
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://ageconsearch.umn.edu/record/151279/files/E ... Acyclic%20Graphs.pdf (application/pdf)

Related works:
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:ags:aaea13:151279

DOI: 10.22004/ag.econ.151279

Access Statistics for this paper

More papers in 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2022-12-05
Handle: RePEc:ags:aaea13:151279