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

Published online by Cambridge University Press:  28 April 2015

Ronald A. Babula ,
David A. Bessler  and
Warren S. Payne
Ronald A. Babula
Affiliation:
Agriculture and Forest Products Division, United States International Trade Commission, Washington, DC
David A. Bessler
Affiliation:
Department of Agricultural Economics, Texas A&M University, College Station, TX
Warren S. Payne
Affiliation:
Agriculture and Forest Products Division, United States International Trade Commission, Washington, DC
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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.

Keywords

Bernanke structural VARsdirected acyclic graphsquarterly wheat-related marketsC22Q11
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 36 , Issue 1 , April 2004 , pp. 1 - 22
Copyright
Copyright © Southern Agricultural Economics Association 2004

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