Abstract
The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique information in live cattle prices declines quickly beyond the eight-month horizon with no incremental information at the twelve-month horizon. The contrast in performance is likely attributable to differences in the quality of public information and the nature of the production process.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 87-98 |
| Number of pages | 12 |
| Journal | Journal of Agricultural and Resource Economics |
| Volume | 33 |
| Issue number | 1 |
| State | Published - Apr 2008 |
Keywords
- Forecast evaluation
- Forecast information
- Futures markets
ASJC Scopus subject areas
- Animal Science and Zoology
- Agronomy and Crop Science
- Economics and Econometrics