An Explanatory Model of South African White Maize Futures Prices

Christo Auret and C C Schmitt

Studies in Economics and Econometrics, 2008, vol. 32, issue 1, 103-131

Abstract: This paper develops a model that explains SA white maize futures prices using twelve independent variables including the Southern Oscillation Index (SOI) as a weather indicator, stock-use-ratio and export-supply-ratio as supply and demand variables, the dollar/rand exchange rate, the import and export parity prices, the Chicago Board of Trade corn futures price and three dummy variables. A unit root test for non-stationarity was conducted which resulted in using the 1st difference of the natural logarithm data in the final model. A stepwise multiple regression analysis is used to explain the relationship between the independent and dependant variables. The hypothesis for the white maize futures price was accepted at the 5% level after nine of the twelve independent variables were eliminated from the analysis. SOI, import parity prices, the JSE Alsi40 index and a lag of the white maize futures prices significantly explains the South African white maize futures prices, at the 5% level.

Date: 2008
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DOI: 10.1080/10800379.2008.12106446

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