Rapid increases in consumer food price beginning in 2007 generated interest in identifying the main factors influencing these increases. In subsequent years, food prices have fluctuated, but generally have continued their ascent. The effects of crude oil, gasoline, corn, and ethanol prices, as well as, the relative foreign exchange rate of the U.S. dollar and producer price indexes for food manufacturing and fuel products on domestic food prices are examined. Because the data series are non-stationary and cointegrated, a vector error correction model is estimated. Weak exogeneity and exclusion tests in the cointegration space are performed. Directed acyclical graphs are used to specify contemporaneous causal relationships. Dynamic interactions among the series are given by impulse response functions and forecast error variance decompositions. Weak exogeneity tests indicate all eight series work to bring the system back into equilibrium following a shock to the system. Further, exclusion tests suggest crude oil, gasoline, food CPI, ethanol, and food PPI variables are not in the long-run relationships. Dynamic analyses suggest the following relationships. Ethanol price is not a major factor in domestic food prices, suggesting that food prices are largely unaffected by the recent increased use of corn-based ethanol for fuel. Crude oil prices, corn prices, and the relative foreign exchange rate of the U.S. dollar, however, do influence domestic food prices with corn price contributing the most to food price variability. Innovation accounting inferences are robust to potential different contemporaneous causal specifications.

The dynamics of the U.S. and Canada natural gas spot markets are evolving through deregulation policies and technological advances. Economic theory suggests that these markets will be integrated. The key question is the extent of integration among the markets. This thesis characterizes the degree of dynamic integration among 11 major natural gas markets, six from the U.S. and five from Canada, and determines each individual markets’ role in price discovery. This is the first study to include numerous Canadian markets in a North American natural gas market study. Causal flows modeling using directed acyclic graphs in conjunction with time series analysis are used to explain the relationships among the markets. Daily gas price data from 1994 to 2009 are used. The 11 natural gas market prices are tied together with nine long-run co-integrating relationships. All markets are included in the co-integration space, providing evidence the markets are integrated. Results show the degree of integration varies by region. Further results indicate no clear price leader exists among the 11 markets. Dawn market is exogenous in contemporaneous time, while Sumas market is an information sink. Henry Hub plays a significant role in the price discovery of markets in the U.S. Midwest and Northeast, but little to markets in the west. The uncertainty of a markets’ price depends primarily on markets located in nearby regions. Policy makers may use information on market integration for important policy matters in efforts of attaining efficiency. Gas traders benefit from knowing the price discovery relationships.