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Determination of Focal Pricing Regions for U.S. Fed Cattle
Author(s) -
Walburger Allan M.,
Foster Kenneth A.
Publication year - 1998
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/3180271
Subject(s) - price discovery , imperfect , fed cattle , economics , econometrics , market price , financial economics , agricultural economics , microeconomics , biology , zoology , linguistics , philosophy , futures contract
Concerns over the imperfect market structure of the beef sector arise due to potential price discovery impacts. This study presents an effective way of providing information on price discovery that can be used to indicate regions within which prices follow similar dynamics. A state space model was fit to fourteen years of weekly data on nineteen price series from U.S. fed cattle markets. Tight regional market price interrelationships were discovered indicating that, in general, prices cannot move independently in the long run. The dynamics of the system of prices revealed the existence of between five and seven focal price discovery regions.