Journal
EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS
Volume 46, Issue 4, Pages 663-695Publisher
OXFORD UNIV PRESS
DOI: 10.1093/erae/jby036
Keywords
corn; cash; futures; causality; vector error correction model; directed acyclic graph
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This paper examines contemporaneous and Granger causality among US corn futures and seven cash prices from major producing states for January 2006-March 2011. Causal flows from futures to cash prices are identified with contemporaneous and in-sample Granger causality tests but not with the out-of-sample Granger causality test. While no interstate in-sample or out-of-sample Granger causality is found, contemporaneous causal linkages are revealed. No causality from cash to futures prices is determined.
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