The formation of price expectations: a case study of the soybean market

dc.contributor.author Langley, Suchada
dc.contributor.department Economics
dc.date 2018-08-15T05:03:55.000
dc.date.accessioned 2020-07-02T06:06:23Z
dc.date.available 2020-07-02T06:06:23Z
dc.date.copyright Fri Jan 01 00:00:00 UTC 1982
dc.date.issued 1982
dc.description.abstract <p>Stochastic dynamic optimization is performed for a representative consumer and producer in the soybean market. Each is assumed to maximize the expected value of the infinite sum of the present value of his (her) income stream. Optimum rules for each side are solved as a function of, among other things, expected future prices. Three price expectations are applied--rational, adaptive, and cash-futures. Estimation, based upon the aggregate U.S. soybean market. Time series analysis and Granger-causality test are utilized at the first stage of estimation in order to obtain information which help to forecast prices. The derived decision rules under rational expectations hypothesis are nonlinear function of parameters appearing in agents' objective functions. All variables that are in the information set which help to predict future values of prices are in the decision rules. The response functions of all decision rules under rational expectations hypothesis depend upon the values of all structural parameters. Dynamic simulation of Quasi-Rational expectations model is performed with relatively good results. The estimation under the other two hypotheses--adaptive and cash-futures price expectations--are relatively inferior.</p>
dc.format.mimetype application/pdf
dc.identifier archive/lib.dr.iastate.edu/rtd/8359/
dc.identifier.articleid 9358
dc.identifier.contextkey 6333713
dc.identifier.doi https://doi.org/10.31274/rtd-180813-7965
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath rtd/8359
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/81338
dc.language.iso en
dc.source.bitstream archive/lib.dr.iastate.edu/rtd/8359/r_8307762.pdf|||Sat Jan 15 02:10:16 UTC 2022
dc.subject.disciplines Economics
dc.subject.keywords Economics
dc.title The formation of price expectations: a case study of the soybean market
dc.type article
dc.type.genre dissertation
dspace.entity.type Publication
relation.isOrgUnitOfPublication 4c5aa914-a84a-4951-ab5f-3f60f4b65b3d
thesis.degree.level dissertation
thesis.degree.name Doctor of Philosophy
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