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The Cattle Price Cycle: An Exploration in Simulation

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Author Info
Stockton, Matthew C.
Van Tassell, Larry W.
Abstract

The 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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Publisher Info
Paper 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.

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Date of creation: Apr 2007
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Handle: RePEc:ags:nccsci:37564

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Related research
Keywords: cattle Price cycle; harmonic model; simulation;

References listed on IDEAS
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  1. Aadland, David, 2004. "Cattle cycles, heterogeneous expectations and the age distribution of capital," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1977-2002, September. [Downloadable!] (restricted)
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  2. Rosen, Sherwin & Murphy, Kevin M & Scheinkman, Jose A, 1994. "Cattle Cycles," Journal of Political Economy, University of Chicago Press, vol. 102(3), pages 468-92, June. [Downloadable!] (restricted)
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  3. Hamilton, Stephen F & Kastens, Terry L, 2000. " Does Market Timing Contribute to the Cattle Cycle?," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 82(1), pages 82-96, February. [Downloadable!] (restricted)
  4. Fanchon, Phillip & Wendel, Jeanne, 1992. "Estimating VAR Models under Non-stationarity and Cointegration: Alternative Approaches for Forecasting Cattle Prices," Applied Economics, Taylor and Francis Journals, vol. 24(2), pages 207-17, February.
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This page was last updated on 2009-12-26.

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