There's a lot of confusion here. First, as was pointed out before, the electromagnetic-wave thing is entirely classical. It is utterly wrong to say a changing magnetic field is the cause for a electric field and vice versa. There's one electromagnetic field as one entity, and it's described by the 6 components of the field-strength (Faraday) tensor or equivalently by 3 electric and 3 magnetic field components ##\vec{E}## and ##\vec{B}##. Which components you call electric and which magnetic depends on the reference frame anyway, and thus this split in two kinds of fields is not a physical thing but just one of our description with respect to a chosen reference frame. The electromagnetic field is given as the retarded solution of the given evolution of charge and current density. This is an approximation, because it doesn't consider the back reaction of the radiation field to the medium ("radiation damping"), which is a not completely solved problem within classical electromagnetism (at least not for point charges, which are anyway not fitting into a classical field theory).
Another thing is the "photon picture". As a result of more than 100 years of bad didactics, particularly in the popular science literature, many people think quantum theory tells us that the electromagnetic field consists of little massless bullits called photons and taking these bullets as behaving like classical lumps of matter named "particles". This is already wrong for massive particles (even in the nonrelativistic limit), but there at least a classical particle picture exists as a certain limit of single-particle wave mechanics (which works only nonrelativistically fully right), the socalled WKB approximation (named Wentzel, Kramers, Brioullin) of equivalently the stationary-phase/saddlepoint approximation of the path integral for the single-particle propagator.
For photons this is all obsolete. Photon's do not even have a position in the literal sense, let alone a sensible particle limit. A single photon is a one-photon Fock state, i.e., a particular kind of state of the quantized electromagnetic field. A classical field as seen from the point of view of quantum field theory or more specifically quantum electrodynamcis (which is the only consistent quantum theory of electromagnetic phenomena we have today), is a coherent state, which is a superposition of all n-photon Fock states, i.e., the photon number is not determined for such a state. So it's as far from a bullet-like particle picture as a single-photon Fock state either. There's no consistent classical-particle picture of the electromagnetic field!