Multi-step commodity forecasts using deep learning

Siddhartha S. Bora and Ani L. Katchova

Agricultural Finance Review, 2024, vol. 84, issue 4/5, 269-296

Abstract: Purpose - Long-term forecasts about commodity market indicators play an important role in informing policy and investment decisions by governments and market participants. Our study examines whether the accuracy of the multi-step forecasts can be improved using deep learning methods. Design/methodology/approach - We first formulate a supervised learning problem and set benchmarks for forecast accuracy using traditional econometric models. We then train a set of deep neural networks and measure their performance against the benchmark. Findings - We find that while the United States Department of Agriculture (USDA) baseline projections perform better for shorter forecast horizons, the performance of the deep neural networks improves for longer horizons. The findings may inform future revisions of the forecasting process. Originality/value - This study demonstrates an application of deep learning methods to multi-horizon forecasts of agri-cultural commodities, which is a departure from the current methods used in producing these types of forecasts.

Keywords: Agricultural baselines; USDA baselines; Commodity projections; Forecast evaluation; Deep learning; C53; E37; Q14; Q18 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:afrpps:afr-08-2023-0105

DOI: 10.1108/AFR-08-2023-0105

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