Modelling soybean prices in a changing policy environment
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.
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.
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.
Volume (Year): 37 (2005)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEC20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEC20|
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.:
- 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.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-856, July.
- 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.
- 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)