Quasi‐rational and ex ante price expectations in commodity supply models: an empirical analysis of the US broiler market
利用期货价格和准理性预测回归方程，推断美国肉鸡市场生产者事前价格预期的形成机制，发现准理性预测、真实供给冲击、期货价格和事后预测误差在不同时期对预期有显著影响。
Abstract A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi‐rational forecasting regression equation. The modelling approach, which builds on a Hamilton‐type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various informational sources in expectation formation. Results show that, in addition to the quasi‐rational forecast, the true supply shock, future prices, and ex post commodity price forecast errors have, at times, been influential in broiler producers' price expectations. Copyright © 2003 John Wiley & Sons, Ltd.