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Forecasting Performance of Corn and Soybean Harvest Futures Contracts

Author

Listed:
  • David Kenyon
  • Eluned Jones
  • M. Anya McGuirk

Abstract

In contrast to earlier periods, post 1973 spring prices of December corn and November soybean futures contracts have not been good forecasts of harvest price. Regression analysis of price forecast variance before and after 1973 indicates that the decline in forecasting accuracy is related to increased yield forecast errors and to reduced interference of government loan rates on market price determination. Since these futures are poor forecasts, producers should not rely on futures prices alone to allocate resources at planting time unless they simultaneously forward price.

Suggested Citation

  • David Kenyon & Eluned Jones & M. Anya McGuirk, 1993. "Forecasting Performance of Corn and Soybean Harvest Futures Contracts," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(2), pages 399-407.
    • Handle: RePEc:oup:ajagec:v:75:y:1993:i:2:p:399-407.
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    File URL: http://hdl.handle.net/10.2307/1242924
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    Cited by:

    1. Guney, Selin, 2015. "An evaluation of price forecasts of the cattle market under structural changes," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205109, Agricultural and Applied Economics Association.
    2. Sanders, Dwight R. & Garcia, Philip & Manfredo, Mark R., 2008. "Information Content in Deferred Futures Prices: Live Cattle and Hogs," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 33(1), pages 1-12, April.
    3. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
    4. Scott, Ayesha & Schoen, Tilman & Fernandez-Perez, Adrian, 2020. "The Predictive Power of NZX Dairy Futures," 2020 Conference (64th), February 12-14, 2020, Perth, Western Australia 305230, Australian Agricultural and Resource Economics Society.
    5. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Zulauf, Carl R. & Orden, David, 2009. "ACRE in the U.S. Farm Bill and the WTO," Working Papers 51821, International Agricultural Trade Research Consortium.
    7. Nakamura, Masao & Nakashima, Tomoaki & Niimura, Takahide, 2006. "Electricity markets volatility: estimates, regularities and risk management applications," Energy Policy, Elsevier, vol. 34(14), pages 1736-1749, September.
    8. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    9. Wolf, Christopher A. & Berwald, Derek K., 1999. "The Potential Of Dairy Futures Contracts As Risk Management Tools," 1999 Annual meeting, August 8-11, Nashville, TN 21709, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Dwight R. Sanders & Philip Garcia & Raymond M. Leuthold, 1998. "The Forecasting Value of New Crop Futures: A Decision-Making Framework," Finance 9805003, University Library of Munich, Germany.
    11. Kastens, Terry L. & Jones, Rodney D. & Schroeder, Ted C., 1998. "Futures-Based Price Forecasts For Agricultural Producers And Businesses," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(1), pages 1-14, July.
    12. Anthony Becker & Rebecca Judge, 2014. "Evidence of Distortionary Effects of Decoupled Payments in U.S. Indica Rice Production," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(3), pages 265-275, September.
    13. C. W. Morgan, 1999. "Futures Markets and Spot Price Volatility: A Case Study," Journal of Agricultural Economics, Wiley Blackwell, vol. 50(2), pages 247-257, May.
    14. A. J. Aulton & C. T. Ennew & A. J. Rayner, 1997. "Efficiency Tests Of Futures Markets For Uk Agricultural Commodities," Journal of Agricultural Economics, Wiley Blackwell, vol. 48(1‐3), pages 408-424, January.
    15. Raphaël Chiappini & Yves Jégourel, 2014. "Futures Market Volatility, Exchange Rate Uncertainty and Cereals Exports: Empirical Evidence from France," GREDEG Working Papers 2014-34, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    16. Manfredo, Mark R. & Sanders, Dwight R., 2004. "Forecast Encompassing And Futures Market Efficiency: The Case Of Milk Futures," 2004 Annual meeting, August 1-4, Denver, CO 20267, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    17. Tao Xiong & Miao Li & Jia Cao, 2023. "Do Futures Prices Help Forecast Spot Prices? Evidence from China’s New Live Hog Futures," Agriculture, MDPI, vol. 13(9), pages 1-16, August.
    18. Sanghyo Kim & Carl Zulauf, 2019. "Crowding out of private stocks by public stocks," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(11), pages 520-528.
    19. Kastens, Terry L. & Schroeder, Ted C., 1996. "Efficiency Tests Of July Kansas City Wheat Futures," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 21(2), pages 1-12, December.

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