This paper examines the causal structure among the daily corn futures and seven cash price series from Midwestern states from January 3, 2006, to March 24, 2011, through a rolling approach that takes into account window sizes of a half, one, one and a half, and two years. Except for some testing samples, all series are tied together through cointegration and adjust toward the long-run relationship(s). Considering different forecasting lengths, the out-of-sample Granger causality test for each window generally reveals that no series gains persistent forecastability from another. These results shed light on the evolving causal structure among the different series. Discussions of empirical findings at a more granular level also are presented.

中文翻译：

---

玉米现货和期货市场的价格动态：协整、因果关系和通过滚动窗口方法进行预测

本文通过滚动方法考察了 2006 年 1 月 3 日至 2011 年 3 月 24 日中西部各州的每日玉米期货和七个现金价格系列之间的因果结构，该方法考虑了一半、一个、一个和一个窗口大小。半年，两年。除了一些测试样本，所有系列都通过协整联系在一起，并朝着长期关系调整。考虑到不同的预测长度，每个窗口的样本外格兰杰因果检验通常表明没有序列从另一个序列获得持久的可预测性。这些结果阐明了不同系列之间不断演变的因果结构。还介绍了对更细粒度的实证结果的讨论。