IDEAS home Printed from https://ideas.repec.org/a/taf/rseexx/v32y2008i1p103-131.html
   My bibliography  Save this article

An Explanatory Model of South African White Maize Futures Prices

Author

Listed:
  • C J Auret
  • C C Schmitt

Abstract

This paper develops a model that explains SA white maize futures prices using twelve independent variables including the Southern Oscillation Index (SOI) as a weather indicator, stock-use-ratio and export-supply-ratio as supply and demand variables, the dollar/rand exchange rate, the import and export parity prices, the Chicago Board of Trade corn futures price and three dummy variables. A unit root test for non-stationarity was conducted which resulted in using the 1st difference of the natural logarithm data in the final model. A stepwise multiple regression analysis is used to explain the relationship between the independent and dependant variables. The hypothesis for the white maize futures price was accepted at the 5% level after nine of the twelve independent variables were eliminated from the analysis. SOI, import parity prices, the JSE Alsi40 index and a lag of the white maize futures prices significantly explains the South African white maize futures prices, at the 5% level.

Suggested Citation

  • C J Auret & C C Schmitt, 2008. "An Explanatory Model of South African White Maize Futures Prices," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 32(1), pages 103-131, April.
    • Handle: RePEc:taf:rseexx:v:32:y:2008:i:1:p:103-131
    DOI: 10.1080/10800379.2008.12106446
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10800379.2008.12106446
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10800379.2008.12106446?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    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:taf:rseexx:v:32:y:2008:i:1:p:103-131. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rsee .

    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.