摘要：The choice of deflators of commodity prices can change the time-series properties of theoriginal series. This is a specific application of the general phenomenon that various kinds ofdata transformations can create spurious cycles that did not exist in the original data. Differentempirical models of expectations result from nominal and various deflated series that havedistinct time-series properties, and these models, in turn, produce varying estimates of supplyresponse and measures of price risk. The foregoing is illustrated by annual grain prices, monthlymilk prices, and a milk supply analysis. Annual prices of corn and soybeans, for example,appear to vary around a constant mean, but when deflated by general price indexes such as theCPI, the deflated prices are autocorrelated around a declining deterministic trend and/or have astochastic trend. The quasi-rational expectations hypotheses assumes that farmers baseexpectations on forecasts from time-series models, but forecasts of real prices, that ultimatelybecome negative, are not rational.
