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Risk Behavior and Rational Expectations in the U.S. Broiler Market Author info | Abstract | Publisher info | Download info | Related research | Statistics Satheesh V. Aradhyula
Matthew T. Holt
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This study examines the empirical implications of extending the rational expectations hypothesis (REH) to include price uncertainty. Unlike previous studies, a general estimation framework that incorporates both the restrictions on structural parameters and the variance-covariance terms is developed. A new time series approach known as GARCH processes is also used to generate time-varying expectations of both the means and the variances of exogenous variables in the REH model with risk. The empirical application is with a quarterly model of the U.S. broiler industry; the results indicate that the rational expectation of price variance is an important determinant of broiler supply. Additionally, a formal test indicates that the restrictions implied by the REH cannot be rejected. The restricted model also compares favorably with an unrestricted version that uses instruments for the mean and the variance of expected prices.
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Paper provided by Center for Agricultural and Rural Development (CARD) at Iowa State University in its series Center for Agricultural and Rural Development (CARD) Publications with number
88-wp33.
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Date of creation: Jul 1988Date of revision:
Handle: RePEc:ias:cpaper:88-wp33Contact details of provider: Postal: 578 Heady Hall, Ames, Iowa 50011-1070 Phone: (515) 294-1183 Fax: (515) 294-6336 Email: Web page: http://www.card.iastate.edu/ More information through EDIRC
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Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)Carter, Joy & Maynard, Leigh J. & Dillon, Carl R., 2000.
"Perfect Cross-Hedging Opportunities Via Formula Pricing: The Case Of The Broiler Industry ,"
2000 Annual meeting, July 30-August 2, Tampa, FL
21765, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Kapombe, Crispin M. & Colyer, Dale, 1998.
"Modeling U.S. Broiler Supply Response: A Structural Time Series Approach ,"
Agricultural and Resource Economics Review ,
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Baker, Mindy L. & Hayes, Dermot J. & Babcock, Bruce A., 2008.
"Crop-Based Biofuel Production under Acreage Constraints and Uncertainty ,"
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Other versions:
Mindy L. Baker & Dermot J. Hayes & Bruce A. Babcock, 2008.
"Crop-Based Biofuel Production under Acreage Constraints and Uncertainty ,"
Center for Agricultural and Rural Development (CARD) Publications
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[Downloadable!] Baker, Mindy & Hayes, Dermot J. & Babcock, Bruce A., 2008.
"Crop-Based Biofuel Production under Acreage Constraints and Uncertainty ,"
Staff General Research Papers
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Conference Papers
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Rulon Pope & Jeffrey LaFrance & Richard E. Just, 2007.
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Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
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Other versions: Aradhyula, Satheesh V. & Holt, Matthew T., 1988.
"Garch Time-Series Models: An Application To Retail Livestock Prices ,"
Western Journal of Agricultural Economics ,
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Other versions: Mendoza, Meyra S. & Rosegrant, Mark W. & Brorsen, Wade, 1992.
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Marsh, John M., 2007.
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Western Agricultural Economics Association, vol. 32(01), April.
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Burton, Diana M. & Love, H. Alan, 1996.
"A Review Of Alternative Expectations Regimes In Commodity Markets: Specification, Estimation, And Hypothesis Testing Using Structural Models ,"
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