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Price discovery in the Texas cash cattle market
Author(s) -
Bessler David A.,
Davis Ernest E.
Publication year - 2004
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.546
Subject(s) - price discovery , cash , margin (machine learning) , fed cattle , economics , feeder cattle , representation (politics) , agricultural economics , business , agricultural science , monetary economics , zoology , financial economics , biology , finance , computer science , political science , law , machine learning , politics , futures contract
Abstract Time series methods and directed acyclic graphs are used to uncover the centre of price discovery in 10 weight/gender classes of feeder and fed cattle from cash markets in Texas, U.S.A. Heavy feeder heifers, animals sitting on a margin of feeding for meat or breeding for new stocks, are weakly exogenous in an error correction representation of these prices. Further, contemporaneous price innovations from this class of animals cause price innovations in feeder steers and lighter weight feeder heifers. Innovation accounting shows the prominent role that heavy heifers play in cattle price discovery. Copyright © 2004 John Wiley & Sons, Ltd.