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Agricultural commodities pricing model applied to the Brazilian sugar market

Author

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  • Pereira, Leonel M.
  • Ribeiro, Celma de Oliveira
  • Securato, Jose R.

Abstract

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.

Suggested Citation

  • Pereira, Leonel M. & Ribeiro, Celma de Oliveira & Securato, Jose R., 2012. "Agricultural commodities pricing model applied to the Brazilian sugar market," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 56(4), pages 1-16, December.
    • Handle: RePEc:ags:aareaj:229817
    DOI: 10.22004/ag.econ.229817
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    References listed on IDEAS

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    1. Martin Benirschka & James K. Binkley, 1995. "Optimal Storage and Marketing Over Space and Time," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 77(3), pages 512-524.
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    Cited by:

    1. Kazi Abrar Hossain & Syed Abul Basher & A.K. Enamul Haque, 2018. "Quantifying the impact of Ramadan on global raw sugar prices," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 11(4), pages 510-528, June.
    2. Oliveira, Sydnei Marssal de & Ribeiro, Celma de Oliveira & Cicogna, Maria Paula Vieira, 2018. "Uncertainty effects on production mix and on hedging decisions: The case of Brazilian ethanol and sugar," Energy Economics, Elsevier, vol. 70(C), pages 516-524.
    3. Ana Norman-Lόpez & Sean Pascoe & Olivier Thébaud & Ingrid Putten & James Innes & Sarah Jennings & Alistair Hobday & Bridget Green & Eva Plaganyi, 2014. "Price integration in the Australian rock lobster industry: implications for management and climate change adaptation," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 58(1), pages 43-59, January.
    4. Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Alexandre Vasconcelos Lima, 2023. "Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(1), pages 1-65, January.

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