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...

The U.S. broiler industry is highly vertically integrated and increasingly concentrated in the number of firms and production areas. These structural elements could have implications for performance and the functioning of the law of one price (LOP) across regions. This article investigates this...

This study proposes one plausible procedure to address two methodological issues,which are common in micro- and macro- econometric analyses, for the full realization ofresearch potential brought by recently available high dimensional data. To address the issue ofhow to infer the causal structure...

This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly available transaction data. Results indicate a wide...

In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...

In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The...

We describe a means of rejecting a null hypothesis concerning observed, but not deliberately manipulated, variables of the form H0: A -/- B in favor of an alternative hypothesis HA: A -- B, even given the possibility of causally related unobserved variables. Rejection of such an H0 relies on the...