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The Cattle Price Cycle: An Exploration in Simulation

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  • Stockton, Matthew C.
  • Van Tassell, Larry W.
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    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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    File URL: http://purl.umn.edu/37564
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    Bibliographic 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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    Web page: http://www.farmdoc.uiuc.edu/nccc134/
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    Related research

    Keywords: cattle Price cycle; harmonic model; simulation;

    References

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    1. Rosen, S. & Murphy, K.M. & Scheinkman, J.A., 1993. "Cattle Cycles," University of Chicago - Economics Research Center 93-2, Chicago - Economics Research Center.
    2. David Aadland, 2002. "Cattle Cycles, Heterogeneous Expectations and the Age Distribution of Capital," Others 0211002, EconWPA.
    3. Bentley, Ernest & Waters, James R. & Shumway, C. Richard, 1976. "Determining Optimal Replacement Age Of Beef Cows In The Presence Of Stochastic Elements," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 8(02), December.
    4. 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.
    5. 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.
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