Management Theory and Studies for Rural Business and Infrastructure Development, Volume 35, Number 1

Evaluation of influence of the grain market participants’ expectations on this market

Irena Kriščiukaitienė, Šarūnas Eirošius, Virginia Namiotko

Abstract

This study employs vector autoregressive model to test rational expectations hypothesis in the grain market. The aim of this research is to find out how rational expectations of grain market subjects, such as growers and buyers, can make influence on the market. Connections between inflation expectations and actual prices and amounts of procurement and processing of wheat, barley and rye were analyzed in this research. The vector-autoregressive model, which can not only evaluate the effect of expectations, but also can forecast particular measures of wheat and barley market, such as price, amounts of procurement and processing, was created in this research. It is easy to apply this model in practice. On the other hand, in some cases it is useful not in analysis of concrete forecasted values, but only in forecasting of tendencies and directions in process changes. The research has showed that forecasts of inflation and average prices from the previous periods in the European Union have statistical significance in grain markets excluding the rye market.

JEL codes: D840, Q110.

Keyword(s): rational expectations, grain market, vector autoregression


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Management Theory and Studies for Rural Business and Infrastructure Development eISSN 2345-0355

This journal is published under the terms of the Creative Commons Attribution-Noncommercial 3.0 Unported License. Responsible editor: Dr Audrius Gargasas.