Rational Expectations and Price Determination in the US Oats Market

BARRY A. GOSS; S. GULAY AVSAR; SIANG‐CHOO ‐C CHAN

doi:10.1111/j.1475-4932.1992.tb02292.x

Rational Expectations and Price Determination in the US Oats Market

BARRY A. GOSS, S. GULAY AVSAR, SIANG‐CHOO ‐C CHAN

Monash University

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

This paper develops a simultaneous rational expectations model of the US oats market Consistent estimates of the structural parameters are obtained by the instrumental variables method and 15 of 16 parameter estimates are significant at the 5 per cent level Estimated elasticities suggest that hedged stocks are more responsive to price changes than unhedged stocks, and that consumption demand for oats is more responsive to income changes than to changes in price. Post‐sample forecasts of the spot price derived from this model are employed to test the semi‐strong form efficient markets hypothesis (EMH), although the futures price outperforms the model as a predictor of the spot price. Hence the EMH cannot be rejected

Original language	English
Pages (from-to)	16-26
Number of pages	11
Journal	Economic Record
Volume	68
DOIs	https://doi.org/10.1111/j.1475-4932.1992.tb02292.x
Publication status	Published - Dec 1992
Externally published	Yes

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AB - This paper develops a simultaneous rational expectations model of the US oats market Consistent estimates of the structural parameters are obtained by the instrumental variables method and 15 of 16 parameter estimates are significant at the 5 per cent level Estimated elasticities suggest that hedged stocks are more responsive to price changes than unhedged stocks, and that consumption demand for oats is more responsive to income changes than to changes in price. Post‐sample forecasts of the spot price derived from this model are employed to test the semi‐strong form efficient markets hypothesis (EMH), although the futures price outperforms the model as a predictor of the spot price. Hence the EMH cannot be rejected

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SP - 16

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Rational Expectations and Price Determination in the US Oats Market

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