@article{goodwin_holt_prestemon_2019, title={Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States}, volume={50}, ISSN={["1879-0860"]}, DOI={10.1016/j.najef.2019.100989}, abstractNote={We assess exchange rate pass-through (ERPT) for U.S. and Canadian prices for oriented strand board (OSB), a structural wood panel product used extensively in U.S. residential construction. Because of its prominence in construction and international trade, OSB markets are likely sensitive to general economic conditions. In keeping with recent research, we examine regime-specific ERPT effects; we use a smooth transition vector error correction model. We also consider ERPT asymmetries associated with a measure of general macroeconomic activity. Our results indicate that during expansionary periods ERPT is modest, but during downturns, ERPT effects are larger.}, journal={NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE}, author={Goodwin, Barry K. and Holt, Matthew T. and Prestemon, Jeffrey P.}, year={2019}, month={Nov} }
 @article{craig_holt_2008, title={Mechanical refrigeration, seasonality, and the hog-corn cycle in the United States: 1870-1940}, volume={45}, ISSN={["1090-2457"]}, DOI={10.1016/j.eeh.2007.06.002}, abstractNote={This paper examines the role of mechanical refrigeration in seasonality and structural change in the U.S. hog–corn cycle, 1870–1940. This period covers an era in which the widespread adoption of mechanical refrigeration greatly affected the ability to store and transport perishable commodities. These developments in turn altered the seasonal production and price structure for many commodities, including pork. We use a new class of time series models, time-varying smooth transition autoregressions (TV-STARs), to document both the structural change and the nonlinear features observed in seasonal patterns for the U.S. hog–corn price relationship during the late nineteenth and early twentieth centuries.}, number={1}, journal={EXPLORATIONS IN ECONOMIC HISTORY}, author={Craig, Lee A. and Holt, Matthew T.}, year={2008}, month={Jan}, pages={30–50} }
 @article{holt_craig_2006, title={Nonlinear dynamics and structural change in the US hog-corn cycle: A time-varying star approach}, volume={88}, ISSN={["1467-8276"]}, DOI={10.1111/j.1467-8276.2006.00849.x}, abstractNote={The linearity of the U.S. hog—corn cycle has been questioned by Chavas and Holt (1991). Even so, attempts have not been made to model the potential nonlinear dynamics in the hog—corn cycle by using regime‐switching models. One popular alternative is Teräsvirta's smooth transition autoregressive (STAR) model, which assumes regime switching is endogenous and potentially smooth. In this article, we examine monthly data for the U.S. hog—corn cycle, 1910–2004. A member of the STAR family, the time‐varying STAR, is fitted to the data and its properties examined. We find evidence of nonlinearity, regime‐dependent behavior, and time‐varying parameter change.}, number={1}, journal={AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS}, author={Holt, MT and Craig, LA}, year={2006}, month={Feb}, pages={215–233} }
 @article{holt_mckenzie_2003, title={Quasi-rational and ex ante price expectations in commodity supply models: An empirical analysis of the US broiler market}, volume={18}, ISSN={["1099-1255"]}, DOI={10.1002/jae.694}, abstractNote={AbstractA statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi‐rational forecasting regression equation. The modelling approach, which builds on a Hamilton‐type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various informational sources in expectation formation. Results show that, in addition to the quasi‐rational forecast, the true supply shock, future prices, and ex post commodity price forecast errors have, at times, been influential in broiler producers' price expectations. Copyright © 2003 John Wiley & Sons, Ltd.}, number={4}, journal={JOURNAL OF APPLIED ECONOMETRICS}, author={Holt, MT and McKenzie, AM}, year={2003}, pages={407–426} }
 @article{haigh_holt_2002, title={Combining time-varying and dynamic multi-period optimal hedging models}, volume={29}, ISSN={["0165-1587"]}, DOI={10.1093/eurrag/29.4.471}, abstractNote={This paper presents an effective way of combining two distinct approaches used in the hedging literature--dynamic programming (DP) and time-series (GARCH) econometrics. Theoretically consistent yet realistic and tractable models are developed for traders interested in hedging a portfolio. Results from a bootstrapping experiment used to construct confidence bands around the competing portfolios suggest that, whereas DP--GARCH outperforms the GARCH approach, they are statistically equivalent to the OLS approach when the markets are stable. Traders may achieve significant gains, however, by adopting the DP--GARCH model rather than the OLS approach when markets are volatile. Copyright 2002, Oxford University Press.}, number={4}, journal={EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS}, author={Haigh, MS and Holt, MT}, year={2002}, month={Dec}, pages={471–500} }
 @article{haigh_holt_2002, title={Crack spread hedging: Accounting for time-varying volatility spillovers in the energy futures markets}, volume={17}, DOI={10.1002/jac.628}, number={3}, journal={Journal of Applied Econometrics}, author={Haigh, M. S. and Holt, M. T.}, year={2002}, pages={269–289} }
 @article{haigh_holt_2002, title={Hedging foreign currency, freight, and commodity futures portfolios - A note}, volume={22}, ISSN={["1096-9934"]}, DOI={10.1002/fut.10050}, abstractNote={AbstractForeign exchange hedging ratios are simultaneously estimated alongside freight and commodity ratios in a
time‐varying portfolio framework. Foreign exchange futures are by far the most important derivative
instrument used to reduce uncertainty for traders. Our results lend support to the decision by the London
International Financial Futures Exchange to cease trading the Baltic International Freight Futures Exchange
freight futures contract because of its low levels of trading activity that likely resulted from its apparent
unattractiveness as a hedging instrument. @ 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1205–1221,
2002}, number={12}, journal={JOURNAL OF FUTURES MARKETS}, author={Haigh, MS and Holt, MT}, year={2002}, month={Dec}, pages={1205–1221} }
 @article{holt_2002, title={Inverse demand systems and choice of functional form}, volume={46}, ISSN={["0014-2921"]}, DOI={10.1016/S0014-2921(00)00088-X}, abstractNote={Barten (Empirical Economics 18 (1993) 129) recently advocated estimation of a synthetic demand system that mechanically nests four other popular differential demand models. This paper follows a similar strategy, but in the context of four inverse share-equation demand systems: The Inverse Translog Demand System (ITLDS); the Inverse Almost Ideal Demand System (IAIDS); the Inverse Lewbel Demand System (ILDS); and the Inverse Non-Separable Linear Expenditure System (INLES). Each of these specifications is artificially nested in a Hybrid Inverse Demand System (HIDS). An empirical application to three categories of quarterly U.S. meat demand data over the period 1961–1996 indicates the HIDS is a preferred specification.}, number={1}, journal={EUROPEAN ECONOMIC REVIEW}, author={Holt, MT}, year={2002}, month={Jan}, pages={117–142} }
 @article{mckenzie_holt_2002, title={Market efficiency in agricultural futures markets}, volume={34}, ISSN={["0003-6846"]}, DOI={10.1080/00036840110102761}, abstractNote={Market efficiency and unbiasedness are tested in four agricultural commodity futures markets - live cattle, hogs, corn, and soybean meal - using cointegration and error correction models with GQARCH-in-mean processes. Results indicate each market is unbiased in the long run, although cattle, hogs and corn futures markets exhibit short-run inefficiencies and pricing biases. Models for cattle and corn outperform futures prices in out-of-sample forecasting. Results also suggest short-run time-varying risk premiums in cattle and hog futures markets.}, number={12}, journal={APPLIED ECONOMICS}, author={McKenzie, AM and Holt, MT}, year={2002}, month={Aug}, pages={1519–1532} }
 @article{goodwin_holt_2002, title={Parametric and semiparametric modeling of the off-farm labor supply of agrarian households in transition Bulgaria}, volume={84}, ISSN={["0002-9092"]}, DOI={10.1111/1467-8276.00252}, abstractNote={AbstractThe reaction of labor marketsto economic reforms is an important indicator of the progress of transition. Because of diminished government support and the breakup of state and collective enterprises, labor market adjustments in the transition economies have been particularly severe in the agricultural sector. Thisarticle evaluatesthe off‐farm labor market for a sample of agrarian households in transition Bulgaria. We give particular attention to the distributional assumptions that underlie standard approaches to the evaluation of labor supply. A variety of specification tests are considered and support for standard maximum likelihood estimates which rely on normality as a maintained hypothesis is mixed. Alternative semiparametric (distribution‐free) estimators are also considered. The empirical results indicate that, five years after the initiation of the transition, off‐farm labor supply patterns for Bulgarian agricultural households are similar to what is commonly observed in developed market economies. Labor supply is positively affected by factors such as education and work experience which are hypothesized to increase off‐farm wages. Social benefit programs providing monetary or in‐kind support payments are shown to significantly decrease off‐farm work.}, number={1}, journal={AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS}, author={Goodwin, BK and Holt, MT}, year={2002}, month={Feb}, pages={184–209} }
 @article{beach_holt_2001, title={Incorporating quadratic scale curves in inverse demand systems}, volume={83}, ISSN={["1467-8276"]}, DOI={10.1111/0002-9092.00150}, abstractNote={AbstractIn this paper we introduce inverse demand systems that include quadratic scale terms. These systems are similar to regular quadratic demand systems introduced by Howe, Pollak, and Wales. A unique feature of these specifications is that they maintain linear scale curves as a special case. For illustrative purposes we estimate the Normalized Quadratic Inverse Demand‐Quadratic Scale System using monthly South Atlantic fish landings and valuation data, 1980‐1996. In estimation concavity is maintained locally, and the rank reduction procedures advocated by Diewert and Wales (1988a) are employed. The estimated model is then used to obtain welfare estimates associated with catch restrictions.}, number={1}, journal={AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS}, author={Beach, RH and Holt, MT}, year={2001}, month={Feb}, pages={230–245} }
 @article{haigh_holt_2000, title={Hedging multiple price uncertainty in international grain trade}, volume={82}, ISSN={["0002-9092"]}, DOI={10.1111/0002-9092.00088}, abstractNote={AbstractCommodity and freight futures contracts are analyzed for their effectiveness in reducing uncertainty for international traders. A theoretical model is developed for a trader exposed to several types of risk. OLS hedge ratio estimation is compared to the SUR and the multivariate GARCH methodologies. Explicit modeling of the time‐variation in hedge ratios via the multivariate GARCH methodology, using all derivatives, and taking into account dependencies between prices, results in reductions in risk, even after accounting for transaction costs. Results confirm that while the commodity futures contracts are important for hedging risk, freight futures are a useful mechanism for reducing risk.}, number={4}, journal={AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS}, author={Haigh, MS and Holt, MT}, year={2000}, month={Nov}, pages={881–896} }
 @article{holt_1999, title={A linear approximate acreage allocation model}, volume={24}, number={2}, journal={Journal of Agricultural and Resource Economics}, author={Holt, M. T.}, year={1999}, pages={383–397} }
 @article{goodwin_holt_1999, title={Price transmission and asymmetric adjustment in the US beef sector}, volume={81}, ISSN={["0002-9092"]}, DOI={10.2307/1244026}, abstractNote={The U.S. livestock sector has experienced numerous structural changes in recent years. For example, the meatpacking industry has experienced many mergers and acquisitions leading to significant increases in industry concentration. In particular, the four-firm concentration ratio for steer and heifer slaughter, a frequently cited statistic and an important indicator of industry concentration, increased from 35.7% in 1980 to 79.8% in 1997 (USDA). There have also been significant regional shifts in livestock production and changes in marketing practices, with decreased use of public markets in many areas. For some products, traditional auction markets have been largely replaced by contract production and sales. Cattle inventories have also trended downward over the last two decades. This has been accompanied by decreases in the number of producers and, in some cases, with significant increases in the scale of operations. The vertical transmission of shocks among various levels of the market is an important characteristic describing the overall operation of the market. Of course, price is the primary mechanism by which various levels of the market are linked. The extent of adjustment and speed with which shocks are transmitted among producer, wholesale, and retail market prices is an important factor reflecting the actions of market participants at alternative market levels. The nature, speed, and extent of adjustments to market shocks may also have important implications for marketing margins, spreads, and mark-up pricing practices. An extensive literature has examined mar-}, number={3}, journal={AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS}, author={Goodwin, BK and Holt, MT}, year={1999}, month={Aug}, pages={630–637} }
 @article{holt_1998, title={Autocorrelation specification in singular equation systems: A further look}, volume={58}, ISSN={["0165-1765"]}, DOI={10.1016/S0165-1765(97)00277-2}, abstractNote={We explore parsimonious specifications for autocorrelation matrices in singular equation systems. In so doing, we present a new model that is based on the factorization and rank reduction procedures for positive semidefinite matrices first advanced by Diewert and Wales (1988).}, number={2}, journal={ECONOMICS LETTERS}, author={Holt, MT}, year={1998}, month={Feb}, pages={135–141} }
 @article{holt_aradhyula_1998, title={Endogenous risk in rational expectations commodity models: a multivariate GARCH_M approach}, volume={5}, DOI={10.1016/s0927-5398(97)00014-5}, abstractNote={The feasibility of including endogenous risk in a rational-expectations model is examined by using a multivariate GARCH-M setup. Unlike previous attempts to model risk under the rational-expectations hypothesis (REH), the model's full covariance structure is allowed to be time varying. The application is with a market model of the U.S. broiler industry; results indicate broiler production is responsive to time-varying price volatility, although the estimated effects are not large. The GARCH-M model is compared with one that uses a two-step approach. Evidence indicates the informationally efficient GARCH-M approach is superior.}, number={1998}, journal={Journal of Empirical Finance}, author={Holt, M. T. and Aradhyula, S. V.}, year={1998}, pages={99–129} }
 @article{holt_goodwin_1997, title={Generalized habit formation in inverse almost ideal demand systems: an application to meat expenditures in the U.S.}, volume={22}, DOI={10.1007/bf01205360}, number={1997}, journal={Empirical Economics}, author={Holt, M. T. and Goodwin, B. K.}, year={1997}, pages={293–320} }
 @article{holt_aradhyula_1995, title={Total response measures in systems of nonlinear equations: An application to a model of the U.S. dairy sector}, volume={43}, DOI={10.1111/j.1744-7976.1995.tb00124.x}, abstractNote={This paper develops total elasticity and flexibility results for general nonlinear, dynamic systems of equations. Unlike procedures for obtaining total response measures in linear systems, analytical procedures are difficult to obtain for nonlinear models; comparable results, however, may be obtained by using numerical simulations. The potential for obtaining total elasticity measures in nonlinear dynamic models is illustrated with an annual model of the U.S. dairy sector. Results show substantial evidence of asymmetric price and quantity adjustments, as well as limit cycles. Such complexities could not be uncovered by using linear models or a partial‐equilibrium framework.}, number={2}, journal={Canadian Journal of Agricultural Economics}, author={Holt, M. T. and Aradhyula, S. V.}, year={1995}, pages={285} }
 @article{holt_1994, title={Price-band stabilization programs and risk: An application to the U.S. corn market}, volume={19}, number={2}, journal={Western Journal of Agricultural and Resource Economics}, author={Holt, M. T.}, year={1994}, pages={239} }