Causal flow analyses combined with time series analyses are used to examine price relationships among fresh broiler retail markets (Northeast, South, Midwest, and West). Results indicate structural changes have occurred in this industry. Reasons for changes in price relationships include the perishable nature of fresh broilers, along with vertical integration and increases in production and concentration in the industry. The four markets are integrated, but the level of integration has decreased over time. With the markets becoming more exogenous, there may be a decrease in society’s welfare. The South market is the most important market for price discovery.

The dominant market where information is discovered plays the role of price leader providing substantial market information to other markets. This study investigates the dynamic relationships of 30 cattle markets across regions, cattle types, and cash/futures markets. The comparison of many markets, using an error correction model, is accomplished with the introduction of a tournament with a hierarchical cluster analysis, which allows us to conclude that the leading price for the U.S. cattle markets is discovered in the futures markets for both feeder and fed cattle.

We use linear time series and wavelets approach to study the relationships between U.S. and international prices for corn, soybeans, and cotton. We then compare results obtained with each approach and verify that structural breaks discovered with wavelet analysis match those produced with subsequent partial-period cointegration analysis. We find little evidence that short-term fluctuations between domestic and international prices are stable, while long-term relationships for many price pairs experience distinct structural breaks. We further find that even though China is among the largest importers of U.S. agricultural products, its commodity prices share little or no relationship with those prevailing in U.S. markets.

We investigate the dynamic evolution of the price discovery function in Chinese agricultural futures markets using a newly developed rolling window cointegration approach. The results show that, compared with wheat and rice, the futures-spot cointegration relationship in the soybean and corn markets tends to be more durable and frequent. Dynamic cointegration analysis indicates that the recent market-oriented reforms in China have boosted the price discovery function of soybean and corn futures markets, whereas price stabilization policies tend to weaken the price discovery function of futures markets. The difference in price discovery function is attributed to differences in market mechanisms and Chinese agricultural policies.

U.S. live cattle markets have experienced dramatic shifts in marketing methods over the past two decades, changing the way live cattle prices are discovered. We identify relationships between prices of the five major live cattle marketing regions using Granger causality and directed graph analysis. The two approaches complement each other and reveal that interweek and intraweek price discovery roles for given markets differ. Evidence indicates that Colorado, though a minor market in terms of relative volume, has become an important source of interweek price information to other markets.

Legislative authorization for the Livestock Mandatory Reporting Act of 1999 was renewed in October of 2006. One of the cited justifications for implementing mandatory reporting was that the voluntary reporting system for the slaughter cattle cash market was unable to provide accurate and timely market information. We extend the spatial market analysis literature by developing a methodology for detecting distortions in spatial relationships across related price series. Using spatially linked regional markets, we compare state-level mandatory price-reporting data to the U.S. Department of Agriculture voluntarily reported state data to determine if the spatial relationship between price-reporting mechanisms was disrupted by market distortions prior to implementation of federal mandatory price reporting. We found no empirical evidence of system failure; therefore, we conclude that market thinning or noncompetitive behavior had not reached the level necessary to disrupt the ability of the voluntary price-reporting system to provide timely and accurate price information.

This study investigates the relationship between cash and futures prices of soybeans and soybean meal from 1992 to 2013. Error correction models are estimated for the prices of both commodities. An exogenous measure of price variability is included in both models to determine if variability increases the speed with which cash and futures prices return to their long-run equilibrium relationship. This is used to measure the impact of price variability on short-run market efficiency and the price discovery process. The findings indicate that the level of price variability influences market adjustment rates and the price discovery process.

This paper examines the price discovery function for three U.S. wheat futures markets: the Chicago Board of Trade, Kansas City Board of Trade, and Minneapolis Grain Exchange. The maintained hypothesis is that futures markets search more for information than cash markets to find an equilibrium price, thus greatly improving the price discovery function. The tests reveal the existence of one equilibrium price across the three futures markets in the long run, but no cointegration among prices in the three representative cash markets.

Price discovery is a frequent topic of research, but many times is not clearly defined and thus purported to cover a myriad of topics. This article provides two alternative theories as the basis for one line of price discovery research. Empirical models consistent with the two theories are estimated using a common data set. Empirical results differ as expected. This article evidences why the theoretical basis for an empirical model depends on clearly defining the objective(s) of the research.

Perceived characteristics of thin markets are described and approaches to furthering their study are suggested. Design features of a laboratory thin market, patterned after a typical livestock marketing situation, are described. Price bias and variation from a “thick” private negotiation market with 22 traders is compared to that from a “thin” auction market with 8 traders. No systematic price bias was found in any of the markets. Price variation was actually lower in the thin auction market.

Laboratory experiments are used to generate data that facilitate investigation of pricing behavior in forward and spot markets. Results suggest a tendency for prices in a spot market to converge to levels higher than those in a forward market. The difference in these market environments is the supply schedule. Buyers in a spot market are aware that supply is inelastic and become relatively aggressive bidders. Forward markets have a relatively elastic supply schedule and buyers fare better. This may motivate firms to promote forward markets and/or vertically integrate in the procurement of inputs.

Monthly observations on prices from 10 weight/gender classifications of Nebraska beef cattle are studied in an error correction model (ECM) framework. This study attempts a replication of the 2003 paper on Texas prices by Bessler and Davis, where they find medium heifers (600-700 1b) at the center of price discovery. Using the ECM results Nebraska light steers are found to be weakly exogenous, with the innovation accounting results showing marked differences. Industry structure, production choices, and animal type and breeding herd differences between Texas and Nebraska are proposed as plausible reasons for partial (or incomplete) success at replication.