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Information Transmission between Livestock Futures and Expert Price Forecasts

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  • Franken, Jason
  • Garcia, Philip
  • Irwin, Scott H.

Abstract

We evaluate dynamic interaction between four expert forecasts, futures prices, and realized cash hog prices. Lag structures of three variable vector autoregression indicate dynamic interaction among futures and cash markets and that past forecasts impact cash prices. Causal analysis of model residuals reveals contemporaneous causation of cash prices by futures prices and by some forecasts, and in all cases indicates causal structures consistent with the chronological ordering of prior day futures, subsequent forecasts, and cash prices realized one quarter later. Error decompositions following this ordering indicate expert forecasts are somewhat more important to futures and cash markets than previously believed.

Suggested Citation

  • Franken, Jason & Garcia, Philip & Irwin, Scott H., 2013. "Information Transmission between Livestock Futures and Expert Price Forecasts," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285806, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13413:285806
    DOI: 10.22004/ag.econ.285806
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    References listed on IDEAS

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