Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model
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 v...
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| Veröffentlicht in: | Journal of agricultural and applied economics 2004-04, Vol.36 (1), p.1-22 |
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| container_title | Journal of agricultural and applied economics |
| container_volume | 36 |
| creator | Babula, Ronald A. Bessler, David A. Payne, Warren S. |
| description | 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. |
| doi_str_mv | 10.1017/S1074070800021829 |
| format | Article |
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Agric. Appl. Econ</addtitle><date>2004-04-01</date><risdate>2004</risdate><volume>36</volume><issue>1</issue><spage>1</spage><epage>22</epage><pages>1-22</pages><issn>1074-0708</issn><eissn>2056-7405</eissn><eissn>1074-0708</eissn><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. 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| ispartof | Journal of agricultural and applied economics, 2004-04, Vol.36 (1), p.1-22 |
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| source | AgEcon; EZB-FREE-00999 freely available EZB journals |
| subjects | Bernanke structural VARs Breakfast foods C22 Cereals directed acyclic graphs Econometrics Equilibrium Estimates International trade Pasta Price elasticity Q11 quarterly wheat-related markets Regression analysis Tariffs Time series Variables |
| title | Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model |
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