The Cattle Price Cycle: An Exploration in Simulation
AbstractThe simulation of commodity prices has been undertaken using a myriad of techniques, with some omitting the cyclical component and others ignoring the presence of inter-temporal relationships expressed as autoregressive errors. This study examines the periodicity of cattle prices and the modeling of the cattle cycle for simulation purposes. The AIC criterion is used to determine lengths of various cycles to be included in a harmonic model, with a chained modeling approach providing the best representation of the cattle cycle.
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Bibliographic InfoPaper provided by NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2007 Conference, April 16-17, 2007, Chicago, Illinois with number 37564.
Date of creation: Apr 2007
Date of revision:
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cattle Price cycle; harmonic model; simulation;
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- David Aadland, 2001.
"Cattle Cycles, Heterogeneous Expectations and the Age Distribution of Capital,"
2002-02, Utah State University, Department of Economics.
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- David Aadland, 2002. "Cattle Cycles, Heterogeneous Expectations and the Age Distribution of Capital," Others 0211002, EconWPA.
- Rosen, S. & Murphy, K.M. & Scheinkman, J.A., 1993.
University of Chicago - Economics Research Center
93-2, Chicago - Economics Research Center.
- Stephen F. Hamilton & Terry L. Kastens, 2000. "Does Market Timing Contribute to the Cattle Cycle?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 82(1), pages 82-96.
- Randal R. Rucker & Oscar R. Burt & Jeffrey T. LaFrance, 1984. "An Econometric Model of Cattle Inventories," Monash Economics Working Papers archive-25, Monash University, Department of Economics.
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