Contemporaneous causal orderings of US corn cash prices through directed acyclic graphs

• Published in: Empirical economics Vol. 52; no. 2; pp. 731 - 758
• Main Author: Xu, Xiaojie
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.03.2017; Springer Nature B.V
• Subjects: Algorithms; Causality; Commodities; Corn; Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Economics and Finance; Error correction & detection; Finance; Graphs; Insurance; Investigations; Management; Prices; Statistics for Business; Time series; Q11; C32; Cointegration; Corn; Graph theory; Error correction model; Causality; Price discovery; L11

This study investigates dynamic relationships among US corn cash prices for the years 2006–2011. Using daily data from 182 markets in seven Midwestern states, an error correction model is estimated and directed acyclic graphs characterize the contemporaneous causal relationships among prices from di...