Price Determination in the U.S. Oats Market: Rational VS. Adaptive Expectations

Barry A. Goss, S. Gulay Avsar and Siang-Choo Chan

No 266329, Department of Economics Archive from Monash University, Department of Economics

Abstract: This paper develops a simultaneous rational expectations model of the U.S. oats market, with categories of agents which include hedgers, speculators and consumers. The post sample forecasts of the spot price derived from this model are employed to test the semi-strong form efficient markets hypothesis (EMH). These results are compared with those for a similar model which uses adaptive expectations. Forecasts derived from the rational model do not outperform the forward (futures) price as a predictor of the spot price, although an adaptive model-futures price composite predictor significantly outperforms the futures price, and hence contains evidence against the EMH.

Keywords: Agricultural and Food Policy; Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 36
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Persistent link: https://EconPapers.repec.org/RePEc:ags:monarc:266329

DOI: 10.22004/ag.econ.266329

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