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On Nonlinear Dynamics: The Case of the Pork Cycle
Jean-Paul Chavas and Matthew T. Holt
American Journal of Agricultural Economics
Vol. 73, No. 3 (Aug., 1991), pp. 819-828
Published by: Oxford University Press on behalf of the Agricultural & Applied Economics Association
Stable URL: http://www.jstor.org/stable/1242834
Page Count: 10
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Abstract
New methods for analyzing nonlinear dynamic processes are used to evaluate the hogcorn price ratio. The results present evidence of nonlinear dynamics in the pork cycle. Moreover, while GARCH processes account for some of the nonlinearities, the pork cycle is apparently characterized by more complex dynamic forms. The empirical analysis provides some evidence of the presence of chaos in the pork cycle. The results also indicate that the dynamic process generating the pork cycle is nonlinear and cannot be adequately characterized by a small number of state variables.
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American Journal of Agricultural Economics © 1991 Agricultural & Applied Economics Association