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Intertemporal Allocation in the Corn and Soybean Markets with Rational Expectations

Author

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  • David E. A. Giles
  • Barry A. Goss
  • Olive P. L. Chin

Abstract

This paper addresses the intertemporal allocation of supplies and the simultaneous determination of spot and futures prices in the U.S. corn and soybean markets. It presents simultaneous equations models in a comparative study of U.S. commodity markets, with separate functional relationships for long and short hedgers, long and short speculators in futures, consumers, and holders of unhedged inventories.

Suggested Citation

  • David E. A. Giles & Barry A. Goss & Olive P. L. Chin, 1985. "Intertemporal Allocation in the Corn and Soybean Markets with Rational Expectations," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 67(4), pages 749-760.
    • Handle: RePEc:oup:ajagec:v:67:y:1985:i:4:p:749-760.
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    File URL: http://hdl.handle.net/10.2307/1241814
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    Cited by:

    1. Burton, Diana M. & Love, H. Alan, 1996. "A Review of Alternative Expectations Regimes in Commodity Markets: Specification, Estimation, and Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Cambridge University Press, vol. 25(2), pages 213-231, October.
    2. Pena-Levano, Luis M. & Ramirez, Octavio & Renteria-Pinon, Mario, 2015. "Efficiency Gains in Commodity Forecasting with High Volatility in Prices using Different Levels of Data Aggregation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205740, Agricultural and Applied Economics Association.
    3. Pena-Levano, Luis M & Foster, Kenneth, 2016. "Efficiency gains in commodity forecasting using disaggregated levels versus more aggregated predictions," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235792, Agricultural and Applied Economics Association.
    4. Barry A. Goss & S. Gulay Avsar, 2013. "Simultaneity, Forecasting and Profits in London Copper Futures," Australian Economic Papers, Wiley Blackwell, vol. 52(2), pages 79-96, June.
    5. Barry A. Goss & S. Gulay Avsar & Siang‐Choo Chan, 1992. "Rational Expectations and Price Determination in the US Oats Market," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 16-26, December.
    6. Barry A. Goss & S. Gulay Avsar, 2016. "Can Economists Forecast Exchange Rates? The Debate Re-Visited: The Case of the USD/GBP Market," Australian Economic Papers, Wiley Blackwell, vol. 55(1), pages 14-28, March.
    7. Barry A. Goss & Jerome L. Stein, 1992. "Introduction," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 1-9, December.

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