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Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market

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Author Info

  • Matthew T. Holt

    (Departments of Agricultural and Resource Economics and Economics, Box 8110, North Carolina State University, Raleigh, NC 27695-8110, USA)

  • Andrew M. McKenzie

    (Department of Agricultural Economics and Agribusiness 221 Agriculture Building, University of Arkansas, Fayetteville, AR 72701, USA)

Abstract

A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi-rational forecasting regression equation. The modelling approach, which builds on a Hamilton-type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various informational sources in expectation formation. Results show that, in addition to the quasi-rational forecast, the true supply shock, future prices, and ex post commodity price forecast errors have, at times, been influential in broiler producers' price expectations. Copyright © 2003 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.694
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 18 (2003)
Issue (Month): 4 ()
Pages: 407-426

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Handle: RePEc:jae:japmet:v:18:y:2003:i:4:p:407-426

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  1. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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Cited by:
  1. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.

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