Quasi-rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market
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.
Volume (Year): 18 (2003)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/0883-7252/|
|Order Information:|| Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252 Email: |
References listed on IDEAS
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.:
- Holt, Matthew T. & Aradhyula, Satheesh V., 1998. "Endogenous risk in rational-expectations commodity models: A multivariate generalized ARCH-M approach," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 99-129, June.
- Rosen, Sherwin & Murphy, Kevin M & Scheinkman, Jose A, 1994.
Journal of Political Economy,
University of Chicago Press, vol. 102(3), pages 468-492, June.
- Sherwin Rosen & Kevin M. Murphy & Jose A. Scheinkman, 1993. "Cattle Cycles," NBER Working Papers 4403, National Bureau of Economic Research, Inc.
- Rosen, S. & Murphy, K.M. & Scheinkman, J.A., 1993. "Cattle Cycles," University of Chicago - Economics Research Center 93-2, Chicago - Economics Research Center.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Aradhyula, Satheesh V. & Holt, Matthew, 1989.
"Risk Behavior and Rational Expectations in the U.S. Broiler Market,"
Staff General Research Papers Archive
274, Iowa State University, Department of Economics.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Center for Agricultural and Rural Development (CARD) Publications 88-wp33, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "Risk Behavior and Rational Expectations in the U.S. Broiler Market," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp33, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
- Bessler, David A. & Brandt, Jon A., 1992. "An analysis of forecasts of livestock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 18(2), pages 249-263, July.
- Nerlove, Marc & Fornari, Ilaria, 1998. "Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 129-161.
- Godfrey, L. G. & Veall, M. R., 1998. "Bootstrap-based critical values for tests of common factor restrictions," Economics Letters, Elsevier, vol. 59(1), pages 1-5, April.
- Huntzinger, R. La Var, 1979. "Market analysis with rational expectations : Theory and estimation," Journal of Econometrics, Elsevier, vol. 10(2), pages 127-145, June.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers Archive 276, Iowa State University, Department of Economics.
- Holt, Matthew T., 2002. "Inverse demand systems and choice of functional form," European Economic Review, Elsevier, vol. 46(1), pages 117-142, January.
- Rausser, Gordon C. & Carter, Colin A., 1982.
"Futures market efficiency in the soybean complex,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- Goodwin, Thomas H & Sheffrin, Steven M, 1982. "Testing the Rational Expectations Hypothesis in an Agricultural Market," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 658-667, November.
- Jarvis, Lovell S, 1974. "Cattle as Capital Goods and Ranchers as Portfolio Managers: An Application to the Argentine Cattle Sector," Journal of Political Economy, University of Chicago Press, vol. 82(3), pages 489-520, May/June.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Foster, Kenneth A & Burt, Oscar R, 1992. "A Dynamic Model of Investment in the U.S. Beef-Cattle Industry," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 419-426, October.
- Baak, Saang Joon, 1999. "Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1517-1543, September.
- Peter C.B. Phillips & Mico Loretan, 1989.
"Estimating Long Run Economic Equilibria,"
Cowles Foundation Discussion Papers
928, Cowles Foundation for Research in Economics, Yale University.
- Chavas, Jean-Paul, 2000. "On information and market dynamics: The case of the U.S. beef market," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 833-853, June.
- Eckstein, Zvi, 1984. "A Rational Expectations Model of Agricultural Supply," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 1-19, February.
- Miranowski, John & Orazem, Peter, 1986.
"An Indirect Test for the Specification of Expectation Regimes,"
Staff General Research Papers Archive
10702, Iowa State University, Department of Economics.
- Orazem, Peter & Miranowski, John, 1986. "An Indirect Test for the Specification of Expectation Regimes," The Review of Economics and Statistics, MIT Press, vol. 68(4), pages 603-609, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:18:y:2003:i:4:p:407-426. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.