IDEAS home Printed from https://ideas.repec.org/a/ags/revi24/340986.html
   My bibliography  Save this article

The role of transition regime models for corn prices forecasting

Author

Listed:
  • Albuquerquemello, Vinícius Phillipe de
  • Medeiros, Rennan Kertlly de
  • Jesus, Diego Pitta de
  • Oliveira, Felipe Araujo de

Abstract

Given the relevance of corn for food and fuel industries, analysts and scholars are constantly comparing the forecasting accuracy of econometric models. These exercises test not only for the use of new approaches and methods, but also for the addition of fundamental variables linked to the corn market. This paper compares the accuracy of different usual models in financial macro-econometric literature for the period between 1995 and 2017. The main contribution lies in the use of transition regime models, which accommodate structural breaks and perform better for corn price forecasting. The results point out that the best models as those which consider not only the corn market structure, or macroeconomic and financial fundamentals, but also the non-linear trend and transition regimes, such as threshold autoregressive models

Suggested Citation

  • Albuquerquemello, Vinícius Phillipe de & Medeiros, Rennan Kertlly de & Jesus, Diego Pitta de & Oliveira, Felipe Araujo de, 2022. "The role of transition regime models for corn prices forecasting," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 60(2), January.
    • Handle: RePEc:ags:revi24:340986
    DOI: 10.22004/ag.econ.340986
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/340986/files/Vin%C3%ADcius%20Phillipe%20de%20Albuquerquemello.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.340986?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. de Albuquerquemello, Vinícius Phillipe & de Medeiros, Rennan Kertlly & da Nóbrega Besarria, Cássio & Maia, Sinézio Fernandes, 2018. "Forecasting crude oil price: Does exist an optimal econometric model?," Energy, Elsevier, vol. 155(C), pages 578-591.
    2. McPhail, Lihong Lu & Du, Xiaodong & Muhammad, Andrew, 2012. "Disentangling Corn Price Volatility: The Role of Global Demand, Speculation, and Energy," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(3), pages 1-10, August.
    3. Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425, June.
    4. K. S. Chan & H. Tong, 1986. "On Estimating Thresholds In Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 7(3), pages 179-190, May.
    5. Bastianin, Andrea & Galeotti, Marzio & Manera, Matteo, 2014. "Causality and predictability in distribution: The ethanol–food price relation revisited," Energy Economics, Elsevier, vol. 42(C), pages 152-160.
    6. Michael J. Roberts & Wolfram Schlenker, 2009. "World Supply and Demand of Food Commodity Calories," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 91(5), pages 1235-1242.
    7. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
    8. Teresa Serra & José M. Gil, 2013. "Price volatility in food markets: can stock building mitigate price fluctuations?," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 40(3), pages 507-528, July.
    9. Harold Hotelling, 1931. "The Economics of Exhaustible Resources," Journal of Political Economy, University of Chicago Press, vol. 39(2), pages 137-137.
    10. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    11. Linwood A. Hoffman & Xiaoli L. Etienne & Scott H. Irwin & Evelyn V. Colino & Jose I. Toasa, 2015. "Forecast performance of WASDE price projections for U.S. corn," Agricultural Economics, International Association of Agricultural Economists, vol. 46(S1), pages 157-171, November.
    12. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    13. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
    14. Alvim, Augusto Mussi & Waquil, Paulo D., 2005. "Efeitos do acordo entre o Mercosul e a União Européia sobre os mercados de grãos," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 43(4), pages 1-21, December.
    15. Mr. David A Reichsfeld & Mr. Shaun K. Roache, 2011. "Do Commodity Futures Help Forecast Spot Prices?," IMF Working Papers 2011/254, International Monetary Fund.
    16. Mallory, Mindy L. & Irwin, Scott H. & Hayes, Dermot J., 2012. "How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets Energy Economics," ISU General Staff Papers 201211010700001537, Iowa State University, Department of Economics.
    17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    18. Winkelried, Diego, 2016. "Piecewise linear trends and cycles in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 196-213.
    19. Jayne, Thomas S. & Rashid, Shahidur, 2010. "The Value of Accurate Crop Production Forecasts," Food Security International Development Working Papers 97032, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    20. Bobenrieth H, Eugenio S A & Bobenrieth H, Juan R A & Wright, Brian D, 2004. "A Model of Supply of Storage," Economic Development and Cultural Change, University of Chicago Press, vol. 52(3), pages 605-616, April.
    21. Michael J. Roberts & Wolfram Schlenker, 2013. "Identifying Supply and Demand Elasticities of Agricultural Commodities: Implications for the US Ethanol Mandate," American Economic Review, American Economic Association, vol. 103(6), pages 2265-2295, October.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. de Albuquerquemello, Vinícius Phillipe & de Medeiros, Rennan Kertlly & da Nóbrega Besarria, Cássio & Maia, Sinézio Fernandes, 2018. "Forecasting crude oil price: Does exist an optimal econometric model?," Energy, Elsevier, vol. 155(C), pages 578-591.
    2. Kertlly de Medeiros, Rennan & da Nóbrega Besarria, Cássio & Pitta de Jesus, Diego & Phillipe de Albuquerquemello, Vinicius, 2022. "Forecasting oil prices: New approaches," Energy, Elsevier, vol. 238(PC).
    3. Nicolas Legrand, 2019. "The Empirical Merit Of Structural Explanations Of Commodity Price Volatility: Review And Perspectives," Journal of Economic Surveys, Wiley Blackwell, vol. 33(2), pages 639-664, April.
    4. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    5. Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
    6. Dalheimer, Bernhard & Herwartz, Helmut & Lange, Alexander, 2021. "The threat of oil market turmoils to food price stability in Sub-Saharan Africa," Energy Economics, Elsevier, vol. 93(C).
    7. Schmeling, Maik & Schrimpf, Andreas & Steffensen, Sigurd A.M., 2022. "Monetary policy expectation errors," Journal of Financial Economics, Elsevier, vol. 146(3), pages 841-858.
    8. Francisco Serranito & Philipp RODERWEIS & Jamel Saadaoui, 2023. "Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process," EconomiX Working Papers 2023-17, University of Paris Nanterre, EconomiX.
    9. Dániel Horváth & Péter Kálmán & Zalán Kocsis & Imre Ligeti, 2014. "Short-rate expectations and term premia: experiences from Hungary and other emerging market economies," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 185-196, Bank for International Settlements.
    10. Alan S. Blinder, 2019. "What does Jerome Powell know that William McChesney Martin didn’t—and what role did academic research play in that?," Working Papers 259, Princeton University, Department of Economics, Center for Economic Policy Studies..
    11. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
    12. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    13. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2013. "Dissecting Corn Price Movements with Directed Acyclic Graphs," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151279, Agricultural and Applied Economics Association.
    14. Meinusch, Annette & Tillmann, Peter, 2016. "The macroeconomic impact of unconventional monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 58-67.
    15. Ebenezer, Appiah Collins & Jatoe, John Baptist D. & Mensa-Bonsu, Akwasi, 2018. "Food Price Sensitivity To Changes In Petroleum Price And Exchange Rate In Ghana: A Cointegration Analysis," 2018 Conference (2nd), August 8-11, Kumasi, Ghana 277791, Ghana Association of Agricultural Economists.
    16. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
    17. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
    18. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
    19. Christiane Baumeister & Reinhard Ellwanger & Lutz Kilian, 2016. "Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?," CESifo Working Paper Series 6282, CESifo.
    20. David Knezevic & Martin Nordström & Pär Österholm, 2021. "The relation between municipal and government bond yields in an era of unconventional monetary policy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(1), February.

    More about this item

    Keywords

    Agricultural Finance;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:revi24:340986. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/inrapfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.