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Greek meat supply response and price volatility in a rational expectations framework: A multivariate GARCH approach

Rezitis, Anthony N.; Stavropoulos, Konstantinos S. - 2009

This paper examines supply response models in a rational expectations framework for each one of the fourmajor Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Choleskydecomposition is used to incorporate price volatility into the rational expectations supply...

Persistent link: https://www.econbiz.de/10009445967

Learning in linear models with expectational leads

Wenzelburger, Jan - 2002

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...

Persistent link: https://www.econbiz.de/10009452462

The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

Hillebrand, Marten; Wenzelburger, Jan - 2005

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …

Persistent link: https://www.econbiz.de/10009452468

On the role of equity for the dynamics of capital accumulation

Böhm, Volker; Kikuchi, Tomoo; Vachadze, George - 2006

The standard overlapping generations model is extended to include retradeable paper assets (shares) of firms. Two period lived consumers hold portfolios including paper assets and capital in order to transfer wealth over time. An infinitely lived firm produces a stochastic output using a...

Persistent link: https://www.econbiz.de/10009452519

Immediate Disclosure or Secrecy? The Release of Information in Experimental Asset Markets

Ackert, Lucy; Church, Bryan K.; Gillette, Ann B. - 2004

This paper reports the results of experimental asset markets designed to investigate how the public disclosure of uncertain information affects market and individual outcomes. In some markets, no information is released as trading starts, and in others, an imperfect pre-announcement is...

Persistent link: https://www.econbiz.de/10009459067

Formation and dispersion of expectations : an empirical analysis with special focus on inﬂation

Jonas Dovern - 2009

the way these expectations are formed. Using a new approach for modeling forecast errors in a structural way, we show that …

Persistent link: https://www.econbiz.de/10009429015

Corporate Governance and Investor Reactions to Seasoned Equity Offerings

Huang, Rongbing; Tompkins, James G - 2009

We study the role of corporate governance in abnormal returns around announcements of seasoned equity offerings (SEOs) by publicly traded U. S. firms from 2001 - 2004. We find that investors react more positively for firms in which different people hold the CEO and board chairman positions. We...

Persistent link: https://www.econbiz.de/10009458997

Outlook vs. Futures: Three Decades of Evidence in Hog and Cattle Markets

Colino, Evelyn V.; Irwin, Scott H. - 2007

indicate,with one exception, no meaningful differences in forecast accuracy between outlook forecastsand futures prices. The …

Persistent link: https://www.econbiz.de/10009443339

How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market

Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip - 2008

flexibility and model averaging consistently outperform Iowa outlook estimates at all forecast horizons. Evidence from the … encompassing tests, which are highly stringent tests of forecast performance, indicates that many price forecasts do provide … incremental information relative to Iowa. Simple combinations of these models and outlook forecasts are able to reduce forecast …

Persistent link: https://www.econbiz.de/10009443351

Can Parallel Exchange Rates Forecast Commodity Prices?

Roberts, John F - 2009

Commodity price uncertainty imposes large costs on society. On the macro level, it results in sudden and unexpected shifts in current account imbalances and real GDP volatility, while on the micro level, it leads to allocation inefficiencies. Accurate price forecasts have the potential to remove...

Persistent link: https://www.econbiz.de/10009474968

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