Perhaps for the first time, this paper applies Johansen and Juselius' methods of the cointegrated vector autoregression (VAR) model to a monthly US system of markets for soybeans, soy meal, and soy oil. Analysis of the error correction or cointegration space illuminates the empirical nature of policy-relevant market elasticities, and of effects of important policy, market, and institutional events on US soy-related markets. A statistically strong US demand for soybeans emerged as the primary cointegrating relation in the error-correction space.