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Risk Behavior and Rational Expectations in the U.S. Broiler Market

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  • Aradhyula, Satheesh V.
  • Holt, Matthew

Abstract

This study examines the empirical implications of extending the rational expectations hypothesis (REH) to include price uncertainty. A general estimation framework that incorporates both the restrictions on structural parameters and the variance-covariance terms is developed. GARCH time-series processes are used to generate time-varying expectations of both the means and the variances of exogenous variables. 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. A formal test indicates that the restrictions implied by the REH cannot be rejected.
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Suggested Citation

  • 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.
    • Handle: RePEc:isu:genres:274
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