We explore empirically the incidence of price discovery for black pepper in the spot market and the nearby and first distant futures markets with October 2001 to February 2003 daily data from Kerala, India. Modern time series methods of cointegration and directed acyclic graphs show that price...

The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated...

This paper reexamines the issue of whether commodity prices provide useful information for formulating monetary policy through the application of recent development in time series methodology developed by Toda and Yamamoto (1995). We found that commodity prices signals the future direction of...

Empirical evidence linking exports to economic growth has been mixed and inconclusive. This study re-examine the export-led growth (ELG) hypothesis for Canada by testing for Granger causality from exports to national output growth using vector error correction models (VECM) and the augmented...

There has been a long debate in the theoretical and empirical economic circles on how host country's exports respond to inward foreign direct investment (FDI). This paper examines whether FDI stimulates export performance of the recipient countries using the case of China. It contributes to the...

This paper investigates causation contemporaneously and over time to elucidate the persistent lack of agreement about what "causes" changes in farmland prices. Using recently developed causal modeling framework of directed acyclic graphs (DAGs) and cointegrated (VAR) techniques, the assumed...

The intent of this paper is to examine the impact of political instability in importing nations on U.S. agricultural trade. A panel data set representing eighty-seven importing countries covering the 1990-2000 period was used to investigate how the degree of democratic practices and three types...

This paper examines the dynamic relationship between monetary policy variables and agricultural prices using alternative VAR-type model specifications. Time series techniques as currently specified in most studies raises issues of misspecification and inferential adequacy because observational...