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The role of transition regime models for corn prices forecasting

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  • 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
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    Keywords

    Agricultural Finance;

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