IDEAS home Printed from https://ideas.repec.org/p/ags/ncrfiv/19042.html
   My bibliography  Save this paper

A Test of Forecast Consistency Using USDA Livestock Price Forecasts

Author

Listed:
  • Sanders, Dwight R.
  • Manfredo, Mark R.

Abstract

In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality concepts used in the market efficiency literature to develop a sequential testing procedure for forecast consistency and rationality. USDA quarterly livestock price forecasts do not demonstrate long-run consistency.

Suggested Citation

  • Sanders, Dwight R. & Manfredo, Mark R., 2005. "A Test of Forecast Consistency Using USDA Livestock Price Forecasts," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19042, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:ncrfiv:19042
    DOI: 10.22004/ag.econ.19042
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/19042/files/cp05sa02.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.19042?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Andrew M. McKenzie & Bingrong Jiang & Harjanto Djunaidi & Linwood A. Hoffman & Eric J. Wailes, 2002. "Unbiasedness and Market Efficiency Tests of the U.S. Rice Futures Market," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 24(2), pages 474-493.
    2. He, Dequan & Holt, Matthew T., 2004. "Efficiency Of Forest Commodity Futures Markets," 2004 Annual meeting, August 1-4, Denver, CO 20344, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Rapach, David E., 2002. "The long-run relationship between inflation and real stock prices," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 331-351, September.
    4. Cheung, Y. -W. & Chinn, M. D., 1998. "Integration, cointegration and the forecast consistency of structural exchange rate models," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
    5. Bailey, DeeVon & Brorsen, B. Wade, 1998. "Trends In The Accuracy Of Usda Production Forecasts For Beef And Pork," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(2), pages 1-11, December.
    6. Hai, Weike & Mark, Nelson C & Wu, Yangru, 1997. "Understanding Spot and Forward Exchange Rate Regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 715-734, Nov.-Dec..
    7. Aggarwal, Raj & Mohanty, Sunil & Song, Frank, 1995. "Are Survey Forecasts of Macroeconomic Variables Rational?," The Journal of Business, University of Chicago Press, vol. 68(1), pages 99-119, January.
    8. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
    9. Christopher S. McIntosh & Jeffrey H. Dorfman, 1992. "Qualitative Forecast Evaluation: A Comparison of Two Performance Measures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 74(1), pages 209-214.
    10. Sanders, Dwight R. & Manfredo, Mark R., 2003. "USDA Livestock Price Forecasts: A Comprehensive Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(2), pages 1-19, August.
    11. Grant, Alan P. & Thomas, Lloyd B., 1999. "Inflationary expectations and rationality revisited," Economics Letters, Elsevier, vol. 62(3), pages 331-338, March.
    12. Wang, Peijie & Jones, Trefor, 2002. "Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 223-239, April.
    13. Elam, Emmett W. & Holder, Shelby H., 1985. "An Evaluation of the Rice Outlook and Situation Price Forecasts," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 17(2), pages 155-162, December.
    14. Jordi Pons, 2001. "The rationality of price forecasts: a directional analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 287-290.
    15. Elam, Emmett W. & Holder, Shelby H., 1985. "An Evaluation Of The Rice Outlook And Situation Price Forecasts," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 17(2), pages 1-7, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bahram Sanginabadi, 2018. "USDA Forecasts: A meta-analysis study," Papers 1801.06575, arXiv.org.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sung No & Michael Salassi, 2009. "A Sequential Rationality Test of USDA Preliminary Price Estimates for Selected Program Crops: Rice, Soybeans, and Wheat," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(4), pages 470-482, November.
    2. repec:kap:iaecre:v:15:y:2009:i:4:p:470-482 is not listed on IDEAS
    3. McCullough, Kerry & Strydom, Barry, 2013. "The efficiency of the South African white maize futures market," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 52(3), March.
    4. repec:ags:ijag24:345253 is not listed on IDEAS
    5. No, Sung Chul & Salassi, Michael E., 2008. "A Sequential Rationality and Efficiency Test of U.S. Department of Agriculture Program Crop Price Estimates: Rice, Wheat, and Soybeans," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6814, Southern Agricultural Economics Association.
    6. Ying-Foon Chow, 2001. "Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 693-713.
    7. Feng Gao & Fengming Song & Jun Wang, 2009. "Rational or irrational expectations? Evidence from China's stock market," Journal of Risk Finance, Emerald Group Publishing, vol. 10(5), pages 432-448, November.
    8. Sanders, Dwight R. & Manfredo, Mark R., 2003. "USDA Livestock Price Forecasts: A Comprehensive Evaluation," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(2), pages 1-19, August.
    9. Manfredo, Mark R. & Sanders, Dwight R., 2006. "Contribution to Price Discovery in the Forest Product Market: Futures, Forwards, and Spot Markets," 2006 Annual meeting, July 23-26, Long Beach, CA 21250, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Sanders, Dwight R. & Manfredo, Mark R. & Boris, Keith, 2008. "Accuracy and efficiency in the U.S. Department of Energy's short-term supply forecasts," Energy Economics, Elsevier, vol. 30(3), pages 1192-1207, May.
    11. Narinder Pal Singh & Archana Singh, 2017. "Empirical Investigation on Food Inflation and Efficiency Issues in Indian Agri-futures Market," Emerging Economy Studies, International Management Institute, vol. 3(2), pages 156-165, November.
    12. Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2021. "The Rationality of USDA Forecasts under Multivariate Asymmetric Loss," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1006-1033, May.
    13. Bahram Sanginabadi, 2018. "USDA Forecasts: A meta-analysis study," Papers 1801.06575, arXiv.org.
    14. Tianyang Zhang & Ziran Li, 2022. "Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 313-337, March.
    15. Jabir Ali & Kriti Bardhan Gupta, 2011. "Efficiency in agricultural commodity futures markets in India," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(2), pages 162-178, August.
    16. Narinder Pal Singh & Archana Singh, 2018. "Global Financial Crisis and Price Risk Management in Gold Futures Market- Evidences from Indian & US Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 21(68), pages 111-120, June.
    17. Manfredo, Mark R. & Sanders, Dwight R., 2008. "Price discovery in a private cash forward market for lumber," Journal of Forest Economics, Elsevier, vol. 14(1), pages 73-89, January.
    18. Setia, Parveen & Childs, Nathan & Wailes, Eric & Livezey, Janet, 1994. "The U.S. Rice Industry," Agricultural Economic Reports 305473, United States Department of Agriculture, Economic Research Service.
    19. repec:ags:aaea22:335690 is not listed on IDEAS
    20. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys," NBER Working Papers 6926, National Bureau of Economic Research, Inc.
    21. MacDonald, Stephen & Ash, Mark & Cooke, Bryce, 2017. "The Evolution of Inefficiency in USDA’s Forecasts of U.S. and World Soybean Markets," MPRA Paper 87545, University Library of Munich, Germany.
    22. Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
    23. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.

    More about this item

    Keywords

    Demand and Price Analysis;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:ncrfiv:19042. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/dauiuus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.