Risk Behavior and Rational Expectations in the U.S. Broiler Market
1989
Aradhyula, Satheesh V. | Holt, Matthew T.
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.
Afficher plus [+] Moins [-]Mots clés AGROVOC
Informations bibliographiques
Cette notice bibliographique a été fournie par National Agricultural Library
Découvrez la collection de ce fournisseur de données dans AGRIS