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Cash Price Stability in the Presence of Futures Markets: A Multivariate Causality Test for Live Beef Cattle

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  • Banerjee, A.
  • Weaver, Robert D.

Abstract

A theoretically motivated, multivariate causality test of the exogeneity of production planning period, term, and forward futures prices in the determination of cash slaughter cattle prices led to the conclusion that these respective futures prices directly affect, have an instantaneous relationship with and have no effect on the cash price In a sample of daily observations.

Suggested Citation

  • Banerjee, A. & Weaver, Robert D., 1982. "Cash Price Stability in the Presence of Futures Markets: A Multivariate Causality Test for Live Beef Cattle," 1982 Annual Meeting, August 1-4, Logan, Utah 279460, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea82:279460
    DOI: 10.22004/ag.econ.279460
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    References listed on IDEAS

    as
    1. Geweke, John, 1978. "Testing the exogeneity specification in the complete dynamic simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(2), pages 163-185, June.
    2. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
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