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Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market

Author

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  • Matthew T. Holt

    (Departments of Agricultural and Resource Economics and Economics, Box 8110, North Carolina State University, Raleigh, NC 27695-8110, USA)

  • Andrew M. McKenzie

    (Department of Agricultural Economics and Agribusiness 221 Agriculture Building, University of Arkansas, Fayetteville, AR 72701, USA)

Abstract

A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi-rational forecasting regression equation. The modelling approach, which builds on a Hamilton-type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various informational sources in expectation formation. Results show that, in addition to the quasi-rational forecast, the true supply shock, future prices, and ex post commodity price forecast errors have, at times, been influential in broiler producers' price expectations. Copyright © 2003 John Wiley & Sons, Ltd.

Suggested Citation

  • Matthew T. Holt & Andrew M. McKenzie, 2003. "Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 407-426.
    • Handle: RePEc:jae:japmet:v:18:y:2003:i:4:p:407-426
    DOI: 10.1002/jae.694
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    Cited by:

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    2. Haile, Mekbib G. & Wossen, Tesfamicheal & Kalkuhl, Matthias, 2019. "Access to information, price expectations and welfare: The role of mobile phone adoption in Ethiopia," Technological Forecasting and Social Change, Elsevier, vol. 145(C), pages 82-92.
    3. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    4. Lenka Rumánková & T. Maier & J. Mach & L. Čechura & Z. Křístková & M. Malý & Z. Malá & P. Hálová, 2012. "Simulations at Czech poultry market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(4), pages 327-334.
    5. Haile, Mekbib G & Kalkuhl, Matthias & Usman, Muhammed A, 2015. "Market information and smallholder farmer price expectations," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 10(4), pages 1-15, December.
    6. Anthony N. Rezitis & Konstantinos S. Stavropoulos, 2010. "Supply response and price volatility in the Greek broiler market," Agribusiness, John Wiley & Sons, Ltd., vol. 26(1), pages 25-48.

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