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Seasonal prediction of European cereal prices: good forecasts using bad models?

  • Adusei Jumah

    (Institute for Advanced Studies and University of Vienna, Austria)

  • Robert M. Kunst

    (Institute for Advanced Studies and University of Vienna, Austria)

Because of their natural adherence to the climate and pronounced seasonal cycles, prices of field crops constitute an interesting field for exploring seasonal time series models. We consider quarterly prices of two major cereals: barley and wheat. Using traditional in-sample fit and moving-window techniques, we investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycles have converged over time. We find that seasonal cycles in the data are mainly deterministic and that evidence on common cycles across countries differs for the two commodities. Out-of-sample prediction experiments, however, yield a ranking with respect to accuracy that does not match the statistical in-sample evidence. Parametric bootstrap experiments establish that the observed mismatch is indeed an inherent and systematic feature. Copyright © 2008 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1062
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 27 (2008)
Issue (Month): 5 ()
Pages: 391-406

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Handle: RePEc:jof:jforec:v:27:y:2008:i:5:p:391-406
DOI: 10.1002/for.1062
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  1. Jeffrey A. Miron, 1996. "The Economics of Seasonal Cycles," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262133237, March.
  2. Franses, Philip Hans & Hylleberg, Svend & Lee, Hahn S., 1995. "Spurious deterministic seasonality," Economics Letters, Elsevier, vol. 48(3-4), pages 249-256, June.
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