Price discovery in the Texas cash cattle market Academic Article

abstract

• Time series methods and directed acyclic graphs are used to uncover the centre of price discovery in 10 weight/gender classes of feeder and fed cattle from cash markets in Texas, U.S.A. Heavy feeder heifers, animals sitting on a margin of feeding for meat or breeding for new stocks, are weakly exogenous in an error correction representation of these prices. Further, contemporaneous price innovations from this class of animals cause price innovations in feeder steers and lighter weight feeder heifers. Innovation accounting shows the prominent role that heavy heifers play in cattle price discovery. Copyright 2004 John Wiley & Sons, Ltd.

authors

• Bessler, David

published proceedings

• APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

author list (cited authors)

• Bessler, D. A., & Davis, E. E.

citation count

• 3

complete list of authors

• Bessler, DA||Davis, EE

publication date

• October 2004

publisher

• Wiley  Publisher

published in

• Applied Stochastic Models in Business and Industry  Journal

keywords

• Cattle Prices
• Cointegration
• Directed Acyclic Graphs

Digital Object Identifier (DOI)

• 10.1002/asmb.546

start page

• 355

end page

• 378

volume

• 20

issue

• 4

URL

• http%3A%2F%2Fdx.doi.org%2F10.1002%2Fasmb.546