Hostname: page-component-cd9895bd7-hc48f Total loading time: 0 Render date: 2024-12-24T16:58:34.783Z Has data issue: false hasContentIssue false
  • English
  • Français

Price Discovery in Nebraska Cattle Markets

Published online by Cambridge University Press:  26 January 2015

Mathew C. Stockton ,
David A. Bessler  and
Roger K. Wilson
Mathew C. Stockton
Affiliation:
West Central Research and Extension Center, University of Nebraska-Lincoln, North Platte, NE
David A. Bessler
Affiliation:
Department of Agricultural Economics, Texas A&M University
Roger K. Wilson
Affiliation:
Department of Agricultural Economics, University of Nebraska-Lincoln
Get access Rights & Permissions [Opens in a new window]

Abstract

Monthly observations on prices from 10 weight/gender classifications of Nebraska beef cattle are studied in an error correction model (ECM) framework. This study attempts a replication of the 2003 paper on Texas prices by Bessler and Davis, where they find medium heifers (600-700 1b) at the center of price discovery. Using the ECM results Nebraska light steers are found to be weakly exogenous, with the innovation accounting results showing marked differences. Industry structure, production choices, and animal type and breeding herd differences between Texas and Nebraska are proposed as plausible reasons for partial (or incomplete) success at replication.

Keywords

Bernanke factorizationcattle pricescointegrationdirected acyclical graphserror correctionPC algorithmprice discoveryC49Q13
Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 42 , Issue 1 , February 2010 , pp. 1 - 14
Copyright
Copyright © Southern Agricultural Economics Association 2010

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Bessler, D.A., and Akleman, D.G. “Farm Prices, Retail Prices, and Directed Graphs: Results for Pork and Beef.” American Journal of Agricultural Economics 80,5(1998): 1145-50.Google Scholar
Bessler, D.A., and Davis, E.E. “Price Discovery in the Texas Cash Cattle Market.” Applied Stochastic Models in Business and Industry 20,4(2004):355-78.Google Scholar
Bryant, H.L., Bessler, D.A., and Haigh, M.S. “Disproving Causal Relationships Using Observational Data.” Oxford Bulletin of Economics and Statistics 71,3(2009):357-74.Google Scholar
Campbell, O.T., and Stanley, J.C. Experimental and Quasi-Experimental Designs for Research. Chicago: Rand McNally, 1966.Google Scholar
Fuller, W.A. Introduction to Statistical Time Series. New York: John Wiley, 1976.Google Scholar
Haavelmo, T. “The probability approach in econometrics.” Econometrica 12,1(1944):1–118. [Suppl.].Google Scholar
Johansen, S. “Determination of Cointegration Rank in the Presence of a Linear Trend.” Oxford Bulletin of Economics and Statistics 54,3(1992):383-97.Google Scholar
Juselius, K. “Do Purchasing Power Parity and Uncovered Interest Rate Parity Hold in the Long Run? An Example of Likelihood Inference in a Multivariate Time-series Model.” Journal of Econometrics 69,1(1995):211-40.Google Scholar
Mark, D.R., and Malchow, S., “Crop and Livestock Prices for Nebraska (1960-2006).” Extension Circular 883, Department of Agricultural Economics, University of Nebraska-Lincoln, 1998). Internet site: http://www.ianrpubs.unl.edu/epublic/live/ec883/build/ec883.pdf.Google Scholar
NASS. National Agricultural Statistics Service part of USDA. 2003-2006. Nebraska Cattle Feeder's News. Nebraska Field Office. Lincoln, NE. Internet site: http://www.nass.usda.gov/Statistics_by_State/Nebraska/Publications/Cattle_Feeders_News/index.asp, May 19, 2003-April 21, 2006.Google Scholar
Pearl, J. Causality. Cambridge, MA: Cambridge University Press, 2000.Google Scholar
Shields, D.A. and Mathews, K.H. Jr. Interstate Livestock Movements. USDA, ERS report LDP -M-108-01, June 2003.Google Scholar
Spirtes, P., Glymour, C., and Scheines, R. Causation, Prediction, and Search. Cambridge: The MIT Press, 2000.Google Scholar
Swanson, N.R., and Granger, C. “Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions.” Journal of the American Statistical Association 92,437(1997):357–367.Google Scholar
Tomek, W. “Confirmation and Replication in Empirical Econometrics.” American Journal of Agricultural Economics 75, Special Issue (1993): 6–14.Google Scholar
Wang, Z., and Bessler, D.A. “A Monte Carlo Study on the Selection of Cointegrating Rank Using Information Criteria.” Econometric Theory 21,3(2005):593–620.Google Scholar