Risk Behavior and Rational Expectations in the U.S. Broiler Market

Satheesh V. Aradhyula and Matthew Holt

American Journal of Agricultural Economics, 1989, vol. 71, issue 4, 892-902

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

Date: 1989
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Working Paper: Risk Behavior and Rational Expectations in the U.S. Broiler Market (1989)
Working Paper: Risk Behavior and Rational Expectations in the U.S. Broiler Market (1988)
Working Paper: Risk Behavior and Rational Expectations in the U.S. Broiler Market (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:71:y:1989:i:4:p:892-902.

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