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 vectorautoregressive 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.
Key words: rational expectations, grain market, vector autoregression.
JEL codes: D840, Q110.
Kriščiukaitienė, I.; Eirošius, Š.; Namiotko, V. 2013. Javų rinkos dalyvių lūkesčių įtakos šiai rinkai vertinimas, Management theory and studies for rural business and infrastructure development =Vadybos mokslas ir studijos - kaimo verslų ir jų infrastruktūros plėtrai 35(1): 63-71. ISSN 1822-6760 [EBSCO host: Business source complete nuo 2006 (EBSCO sąrašas) Central & Eastern European Academic Source nuo 2006 (EBSCO sąrašas); Ulrich’s; IndexCopernicus].
