Short-term and long-term price forecasting models for the future exchange of Malaysian natural rubber market

Aye Aye Khin, Seethaletchumy Thambiah and Kevin Low Lock Teng

International Journal of Agricultural Resources, Governance and Ecology, 2017, vol. 13, issue 1, 21-42

Abstract: Kuala Lumpur rubber market drifted uncertainly within a narrow range. Market situation provided upward pressure on prices and producer and consumer interest was poor coupled with weak prices in the regional markets. The objectives of the study are: (a) to estimate the relationship between natural rubber (NR) price and supply, demand, and stock, while some other factors of crude oil price and exchange rate by using simultaneous supply-demand and price system equation and Vector Error Correction Method (VECM); (b) to forecast the short-term and long-term NR price; and (c) to compare and evaluate the price forecasting models. Firstly, the data was analysed by Ferris and Engle-Granger's procedure; secondly, both price forecasting methodology were tested by Pindyck-Rubinfeld and Makridakis's procedure. The result shows that VECM model is more efficient using quarterly data; a short-term price forecast is decreasing and a long-term price forecast is predicted to increasing trend of the Malaysian rubber market.

Keywords: short-term and long-term; price forecasting models; simultaneous system equation; VECM; natural rubber; Malaysia. (search for similar items in EconPapers)
Date: 2017
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