Risk behavior and rational expectations in the U.S. Broiler market

Satheesh V Aradhyula, Matthew T. Holt

Research output: Contribution to journalArticle

39 Citations (Scopus)

Abstract

This study examines the empirical implications ofextending 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 ofboth the means and the variances ofexogenous variables. The empirical application is with a quarterly model ofthe U.S. broiler industry; the results indicate that the rational expectation ofprice variance is an important determinant of broiler supply. A formal test indicates that the restrictions implied by the REH cannot be rejected.

Original languageEnglish (US)
Pages (from-to)892-902
Number of pages11
JournalAmerican Journal of Agricultural Economics
Volume71
Issue number4
DOIs
StatePublished - 1989
Externally publishedYes

Fingerprint

risk behavior
Risk-Taking
broiler chickens
markets
Uncertainty
Industry
time series analysis
uncertainty
industry
Broiler
Rational expectations
testing
Expectations hypothesis

Keywords

  • Broiler industry
  • Expectations
  • GARCH time series models
  • Price uncertainty
  • Rational

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics

Cite this

Risk behavior and rational expectations in the U.S. Broiler market. / Aradhyula, Satheesh V; Holt, Matthew T.

In: American Journal of Agricultural Economics, Vol. 71, No. 4, 1989, p. 892-902.

Research output: Contribution to journalArticle

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