Advanced Search

Modelling soybean prices in a changing policy environment

Contents:

Author Info

  • Barry Goodwin
  • Randy Schnepf
  • Erik Dohlman

Abstract

Accurate forecasts of commodity prices are an important ingredient in the policy formation process. A commodity price forecasting procedure used routinely by the US Department of Agriculture in their policy and market analysis activities is a simple, linear, reduced-form regression model that predicts season-average farm prices (SAFP) using policy variables and the ratio of total ending stocks to use. This approach is extended to the soybean SAFP to estimate a benchmark model using annual data. Also several specification issues related to this estimation framework are addressed. Evaluation suggests that the standard forecasting procedure may be affected by the fact that the ratio of stocks to use is endogenous to prices. In addition, important structural changes are revealed in these relationships over time. A model is then considered that allows parameters to shift gradually. Improvements in the accuracy of model forecasts allowed by this parameter switching technique are identified and discussed. In addition, the exact nature of the structural shifts is evaluated using dynamic impulse response functions.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840412331315060
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 37 (2005)
Issue (Month): 3 ()
Pages: 253-263
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:taf:applec:v:37:y:2005:i:3:p:253-263

Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/00036846.html

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.asp

For corrections or technical questions regarding this item, or to correct its listing, contact: (Michael McNulty).

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Westcott, Paul C. & Price, J. Michael, 2001. "Analysis Of The U.S. Commodity Loan Program With Marketing Loan Provisions," Agricultural Economics Reports 34035, United States Department of Agriculture, Economic Research Service.
  2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  3. Tsurumi, Hiroki & Wago, Hajime & Ilmakunnas, Pekka, 1986. "Gradual switching multivariate regression models with stochastic cross-equational constraints and an application to the Klem translog production model," Journal of Econometrics, Elsevier, vol. 31(3), pages 235-253, April.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
  1. Isengildina-Massa, Olga & MacDonald, Stephen, 2009. "U.S. Cotton Prices and the World Cotton Market; Forecasting and Structural Change," Economic Research Report 55950, United States Department of Agriculture, Economic Research Service.
  2. No, Sung Chul & Salassi, Michael E., 2006. "Dynamic Analysis and Forecasts of Rough Rice Price under Government Price Support Program: An Application of Bayesian VAR," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35279, Southern Agricultural Economics Association.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:37:y:2005:i:3:p:253-263

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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