Go to main content
Did you know? By making a gift to AgEcon Search, you are helping ensure that our small non-profit continues to provide free full-text access to 15,000 visitors a day from 170+ countries
Format
BibTeX
MARCXML
TextMARC
MARC
DublinCore
EndNote
NLM
RefWorks
RIS

Files

Abstract

We evaluate dynamic interaction between four expert forecasts, futures prices, and realized cash hog prices. Lag structures of three variable vector autoregression indicate dynamic interaction among futures and cash markets and that past forecasts impact cash prices. Causal analysis of model residuals reveals contemporaneous causation of cash prices by futures prices and by some forecasts, and in all cases indicates causal structures consistent with the chronological ordering of prior day futures, subsequent forecasts, and cash prices realized one quarter later. Error decompositions following this ordering indicate expert forecasts are somewhat more important to futures and cash markets than previously believed.

Details

PDF

Statistics

from
to
Export
Download Full History