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The role of the U.S. exchange‐rate equity market volatility on agricultural exports and forecasts

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  • Kwame Asiam Addey
  • William Nganje

Abstract

This article estimates the U.S. state‐level soybean export forecast until December 2024 using a seasonal autoregressive integrated moving average (SARIMA) model. We utilize the newly developed exchange‐rate equity market volatility (EMV‐EX) to improve model fit and the Dirichlet process mixture model (DPMM) to control for unobserved heterogeneity. Using monthly data from January 2004 to December 2020, the study shows that soybean exports for states without ports are underestimated at the expense of states with ports. The EMV‐EX has a positive effect on soybean exports. The forecasts reveal no expected changes in the trends for soybean exports until December 2024. This study's results are useful to make and to implement more informed policy decisions for risk‐mitigating strategies such as the market‐facilitation program. Cet article estime les prévisions d'exportation de soya au niveau des États américains jusqu'en décembre 2024 à l'aide d'un modèle saisonnier de moyenne mobile intégrée autorégressive (SARIMA). Nous utilisons la volatilité du marché des taux de change nouvellement développée (EMV‐EX) pour améliorer la précision du modèle et le modèle mixte de processus de Dirichlet (MMPD) pour contrôler l'hétérogénéité non observée. Utilisant des données mensuelles de janvier 2004 à décembre 2020, l'étude montre que les exportations de soya des États sans port sont sous‐estimées au détriment des États dotés de ports. L'EMV‐EX a un effet positif sur les exportations de soya. Les prévisions ne révèlent aucun changement prévu dans les tendances des exportations de soya jusqu'en décembre 2024. Les résultats de cette étude sont utiles pour prendre et mettre en œuvre des décisions politiques plus éclairées pour les stratégies d'atténuation des risques telles que le programme de facilitation du marché.

Suggested Citation

  • Kwame Asiam Addey & William Nganje, 2023. "The role of the U.S. exchange‐rate equity market volatility on agricultural exports and forecasts," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 71(1), pages 25-47, March.
    • Handle: RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47
    DOI: 10.1111/cjag.12323
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