CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS

Michael S. Haigh and David Bessler ()

No 28588, Working Papers from University of Maryland, Department of Agricultural and Resource Economics

Abstract: Directed Acyclic Graphs (DAG's) and Error Correction Models (ECM's) are employed to analyze questions of price discovery between spatially separated commodity markets and the transportation market linking them together. Results from our analysis suggest these markets are highly interconnected but it is the inland commodity market that is strongly influenced by both the transportation and commodity export markets. However, the commodity markets affect the volatility of the transportation market over longer horizons. Our results suggest that transportation rates are critical in the price discovery process lending support for the recent development of exchange traded barge rate futures contracts.

Keywords: Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Pages: 41
Date: 2002
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Related works:
Journal Article: Causality and Price Discovery: An Application of Directed Acyclic Graphs (2004)
Working Paper: CAUSALITY AND PRICE DISCOVERY: AN APPLICATION OF DIRECTED ACYCLIC GRAPHS (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:umdrwp:28588

DOI: 10.22004/ag.econ.28588

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