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The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior

Author

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  • Ramirez, Octavio A.

Abstract

The behavior of agricultural commodity markets can arguably result in markedly asymmetric price cycles, that is, downward cycles of substantially different length and breadth than upward cycles. This study assesses whether asymmetric-cycle models can enhance the understanding of the dynamics and provide for a better forecasting of U.S. soybeans and Brazilian coffee prices. The forecasts from asymmetric cycle models are found to be substantially mode precise than those obtained from standard autoregressive models. The asymmetric cycle models also provide useful insights on the markedly different dynamics of the upward versus the downward cycles exhibited by the prices of these two commodities.

Suggested Citation

  • Ramirez, Octavio A., 2009. "The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 41(1), pages 1-14, April.
    • Handle: RePEc:ags:joaaec:48760
    DOI: 10.22004/ag.econ.48760
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    Cited by:

    1. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.

    More about this item

    Keywords

    Agribusiness; Crop Production/Industries; Demand and Price Analysis; Risk and Uncertainty;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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