Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs
利用误差修正模型和有向无环图，分析1981-1999年加拿大、欧盟、阿根廷、澳大利亚和美国五个主要产区小麦价格的动态因果关系，发现加拿大和美国是价格领导者。
In this paper we examine dynamic relationships among wheat prices from five countries for the years 1981–1999. Error correction models and directed acyclic graphs are employed with observational data to sort–out the dynamic causal relationships among prices from major wheat producing regions: Canada, the European Union, Argentina, Australia, and the United States. An ambiguity related to the cyclic or acyclic flow of information between Canada and Australia is uncovered. We condition our analysis on the assumption that information flow is acyclic. The empirical results show that Canada and the U.S. are leaders in the pricing of wheat in these markets. The U.S. has a significant effect on three markets excluding Canada.