Hostname: page-component-76fb5796d-wq484 Total loading time: 0 Render date: 2024-04-26T18:28:05.764Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get access

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Alston, J., Gray, R., and Sumner, D.. “The Wheat War of 1994.” Canadian Journal of Agricultural Economics 42(1994):231–51.CrossRefGoogle Scholar
Alston, J., “The Wheat War of 1994: Reply.” Canadian Journal of Agricultural Economics 47(1999):99–104.CrossRefGoogle Scholar
Babula, R., and Bessler, D.. “Farmgate, Processor, and Consumer Price Transmissions in the Wheat Sector.” Journal of Agricultural Economics Research 41,3(1987):23–29.Google Scholar
Babula, R., and Jabara, C.. “The Wheat War of 1994: Comment.” Canadian Journal of Agricultural Economics 47(1999):89–98.CrossRefGoogle Scholar
Babula, R., and Rich, K.. “Time Series Analysis of the U.S. Durum Wheat and Pasta Markets.” Journal of Food Distribution Research 32,2(2001):1–19.Google Scholar
Babula, R., Colling, P., and Gajewski, G.. “Dynamic Impacts of Rising Lumber Prices on Housing-Related Prices.” Agribusiness: An international Journal 10(1994):373–88.3.0.CO;2-U>CrossRefGoogle Scholar
Babula, R., Jabara, C., and Reeder, J.. “Role of Empirical Evidence in U.S./Canadian Dispute on U.S. Imports of Wheat, Wheat Flour, and Semolina.” Agribusiness: An International Journal 12(1996):183–99.3.0.CO;2-Z>CrossRefGoogle Scholar
Bernanke, B. “Alternative Explanations of the Money-Income Correlation.” Carnegie-Rochester Conference Series on Public Policy 25(1986):45–100.CrossRefGoogle Scholar
Bessler, D. “An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market.” Canadian Journal of Agricultural Economics 32(1984):109–24.CrossRefGoogle Scholar
Bessler, D., and Akleman, D.. “Farm Prices, Retail Prices, and Directed Graphs: Results for Pork and Beef.” American Journal of Agricultural Economics 80,5(1998):1144–49.CrossRefGoogle Scholar
Bessler, D., Yang, J., and Wongcharupan, M.. “Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs.” Journal of Regional Science 42,4(2002):793–825.Google Scholar
Canada-U.S. Joint Commission on Grains. Preliminary Report. Unpublished manuscript, Canada-U.S. Joint Commission on Grains, Ottawa, Canada, June 1995.Google Scholar
Dickey, D., and Fuller, W.. “Distribution of Estimates for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74(1979):427–31.Google Scholar
Doan, T. “Generalized Impulse Responses.” The RATSletter 15(July, 2002):4 [Newsletter of Estima, the provider of the RATS or Regression Analysis of Time Series software].Google Scholar
Doan, T.RATS Users' Manual, Version 4. Evanston, IL: Estima, 1996.Google Scholar
Fuller, W.Introduction to Statistical Time Series. New York: John Wiley & Sons, 1976.Google Scholar
Glickman, D., and Kantor, M.. “Joint Statement from Agriculture Secretary Dan Glickman and Ambassador Michael Kantor Regarding U.S. Canadian Grain Issues.” U.S. Department of Agriculture, Office of Communications, Release no. 0658.95, Washington, DC, September 12, 1995.Google Scholar
Goodwin, H.L. Jr., McKenzie, A.M., and Dju-naidi, H.. “Which Broiler Part is the Best Part?” Journal of Agricultural and Applied Economics 35,3(December 2003):483–95.CrossRefGoogle Scholar
Granger, C.W.J. and Newbold, P.. Forecasting Economic Time Series. New York: Academic Press, 1986.Google Scholar
Haigh, M., and Bessler, B.. “Causality and Price Discovery: An Application of Directed Acyclic Graphs.” Journal of Business, in press.Google Scholar
Hamilton, J.Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.CrossRefGoogle Scholar
Harris, R.Cointegration Analysis in Econometric Modeling. New York: Prentice-Hall, 1995.Google Scholar
Johansen, S., and Juselius, K.. “Maximum Likelihood and Inference on Cointegration: With Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52(1990):169–210.CrossRefGoogle Scholar
Johansen, S., “Testing Structural Hypotheses in Multivariate Cointegration Analysis of the PPP and UIP for UK.” Journal of Econometrics 53(1992):211–44.CrossRefGoogle Scholar
Jonnala, S., Fuller, S., and Bessler, D.. “A GARCH Approach to Modeling Ocean Grain Freight Rates.” International Journal of Maritime Economics 4(2002):103–25.CrossRefGoogle Scholar
Kloek, T., and VanDijk, H.. “Bayesian Estimates of Equation System Parameters: An Application of Monte Carlo.” Econometrica 46(1978):1–20.CrossRefGoogle Scholar
Kwiatowski, D., Phillips, P., Schmidt, P., and Shin, U.. “Testing the Null Hypothesis of Station-arity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?” Journal of Econometrics 54(1992):159–78.CrossRefGoogle Scholar
Milling and Baking News Staff. “Census Revisions Alter Semolina, Wheat Flour Production.” Milling and Baking News, May 16, 2000, pp. 1 & 19.Google Scholar
Patterson, K.An Introduction to Applied Econometrics: A Time Series Approach. New York: Palgrave (St. Martins Press), 2000.Google Scholar
Pearl, J. “Causal Diagrams for Empirical Research.” Biometrica 82(December 1995):669–710.CrossRefGoogle Scholar
Pesaran, H., and Shin, Y.. “Generalized Impulse Response Analysis in Linear Multivariate Models.” Economics Letters 58(1998):17–29.CrossRefGoogle Scholar
Rich, K., Babula, R., and Romain, R.. “Chapter 5: The Dynamics in the Wheat and Wheat Products Sector: U.S.-Canada Comparisons.” Agricultural Trade Under CUSTA. Koo, W. and Wilson, W., eds., pp. 93–118. Hauppauge, NY: Nova Science Publishers, Inc., 2002.Google Scholar
Saghaian, S., Hassan, M., and Reed, M.. “Overshooting of Agricultural Prices in Four Asian Economies.” Journal of Agricultural and Applied Economics 34,1(2002):95–109.CrossRefGoogle Scholar
Samuelson, P. “Proof that Properly Anticipated Prices Fluctuate Randomly.” Industrial Management Review 6(1965):41–9.Google Scholar
Sargan, J., and Bhargava, A.. “Testing Residuals from Least Squares Regression for Being Generated by a Gaussian Random Walk.” Econometrica 51(1983):153–74.CrossRefGoogle Scholar
Scheines, R., Spirtes, R., Glymour, C., and Meek, C.. TETRADII: Tools for Causal Modeling. Pittsburgh, PA: Carnegie Mellon University, 1994.Google Scholar
Schwarz, G. “Estimating the Dimension of a Model.” Annals of Statistics 6(1978):461–64.CrossRefGoogle Scholar
Seidband, D. “Expansion in U.S.-Canada Durum and Durum Product Trade Heavily Favors Canada.” FAS Online: Foreign Countries' Policies and Programs, Nov. 1-3, 1999. Internet site: http://ffas.usda.gov/grain/circular/1999/-11/dtricks.htm (Accessed November 17, 1999).Google Scholar
Sims, C. “Macroeconomics and Reality.” Econometrica 48(1980):1–48.CrossRefGoogle Scholar
Spirtes, P., Glymour, C., and Scheines, R.. Causation, Prediction, and Search. New York: Springer-Verlag, 2000.Google Scholar
Tiao, G., and Box, G.. “Modeling Multiple Time Series: With Applications.” Journal of the American Statistical Association 76(1978):802–16.Google Scholar
U.S. Department of Agriculture, Economic Research Service (USDA, ERS). “Wheat Outlook.” WHS-0103, January 14, 2003, Washington, DC, p. 12. (Source of QWHEAT data from 2001/2002:3 through 2002/2003:2).Google Scholar
U.S. Department of Agriculture, Economic Research Service (USDA, ERS). Wheat Situation and Outlook Yearbook, 2002. Washington, DC, WHS-2002. (Source of QWHEAT data from 1985/86:1 through 2001/2001:2.)Google Scholar
U.S. Department of Commerce. Letter to Chairman D. Okun, U.S. International Trade Commission, from S. Kuhbach, Acting Deputy Assistant Secretary, Antidumping/Countervailing Duty Enforcement Group 1, U.S. Department of Commerce. Public documents C-122-846 & C-122-848, March 4, 2003.Google Scholar
U.S. Department of Labor, Bureau of the Census (Labor, Census). Current Industrial Reports, Flour Milling Products (various quarterly and yearly issues). Quarterly 1997-2002 data from various quarterly issues; quarterly 1985-1996 data calculated from monthly data from annual summaries. Washington, DC, 1985-2001.Google Scholar
U.S. Department of Labor, Bureau of Labor Statistics (Labor, BLS). “Producer Price Index Data Bases.” Internet site: www.bls.gov (Accessed January 31, 2002).Google Scholar
U.S. International Trade Commission (USITC). Durum Wheat: Conditions of Competition between the U.S. and Canadian Industries. Washington, DC: USITC, Pub. No. 2274, June 1990.Google Scholar
U.S. International Trade Commission (USITC). Summary of Statutory Provisions Related to Import Relief. Washington, DC: USITC, Pub. No. 3215, August 1998.Google Scholar
U.S. International Trade Commission (USITC). Wheat Trading Practices: Competitive Conditions Between U.S. and Canadian Wheat, Investigation No. 332-429. Washington, DC: USITC, Pub. No. 3465, December, 2001 [Note: declassified version released on December 18, 2001].Google Scholar
U.S. International Trade Commission (USITC). Wheat, Wheat Flour, and Semolina, Investigation No. 22-54. Washington, DC: USITC, Pub. No. 2794, July 1994.Google Scholar
U.S. Trade Representative (USTR). “USTR Accepts Section 301 Petition on Canadian Wheat.” Press release, October 23, 2000. Internet site: http://www.ustr.gov/releases/2000 (Accessed October 24, 2000).Google Scholar
Wall Street Journal Staff. “U.S. Slaps Duties on Canadian Wheat Imports.” Wall Street Journal, New York, March 5, 2003, p. A13.Google Scholar
Whittaker, J.Graphical Models in Applied Multivariate Statistics. Chichester, UK: John Wiley & Sons, 1990.Google Scholar