Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach

Subrata K. Mitra and Debdatta Pal ()
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Subrata K. Mitra: Institute of Management Technology
Debdatta Pal: Indian Institute of Management Lucknow

Journal of Quantitative Economics, 2024, vol. 22, issue 2, No 7, 395-420

Abstract: Abstract This paper explores the role of crude oil in determining corn prices for data on the weekly front future prices in the United States. With 38% of corn production allocated toward fuel ethanol, a possible effect of crude oil price variation on corn price fluctuations is theoretically indicated. To test this theory, two complementary approaches—a parametric multiple regression and a non-parametric multivariate adaptive regression splines approach are employed. Along with indicating a weak relationship between corn and crude oil prices, the results suggest that corn price responds nonlinearly to the changes in soybean and wheat prices.

Keywords: Nonlinear price transmission; Crude oil price; Agricultural prices; MARS; JEL classification: C22; Q41; Q16 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s40953-024-00382-1

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