"July 2009." Author-supplied keywords: feeder cattle, futures market efficiency, live cattle, structural change. Includes bibliographical references (p. 11-13). 37
Summary:
Feeder cattle are fattened to become fed live cattle six months later. The U.S. feeder cattle industry is intensively competitive, so that market efficiency suggests feeder cattle prices should fully reflect feed prices and information on future fed cattle prices. Employing a long time series (1979-2004) of feeder cattle futures, live cattle futures, and local corn prices, we test whether complete pass-through occurs. The results indicate that an increase of a dollar per hundred pounds in the live cattle price leads to an increase of approximately $1.48 per hundred pounds in the feeder cattle price in one month, about 93% of complete pass-through. The corresponding negative effect of a corn price increase is about 87% of complete pass-through. By contrast with agricultural land markets, the results support the hypothesis of Ricardian rent extraction by the scarce asset owner in feeder cattle markets. The results also provide evidence in favor of informational efficiency in futures markets.
Series:
Working paper ; 09-WP 494
OCLC:
(OCoLC)428820382
Locations:
USUX851 -- Iowa State University - Parks Library (Ames)
IAOX771 -- State Library of Iowa (Des Moines)
OVUX522 -- University of Iowa Libraries (Iowa City)
This resource is supported by the Institute of Museum and Library Services under the provisions of the Library Services and Technology Act as administered by State Library of Iowa.