Determination of Focal Pricing Regions for U.S. Fed Cattle
针对牛肉市场结构不完善可能影响价格发现的问题，本研究用状态空间模型分析14年周度数据，发现美国育肥牛市场存在5到7个焦点定价区域，区域内价格长期联动。
Abstract 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.