Forecasting Corn and Soybean Basis Using Regime-Switching Models

Daniel J. Sanders and Timothy G. Baker

No 285765, 2012 Conference, April 16-17, 2012, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Corn and soybean producers in the core production areas of the U.S. have experienced a notable jump in basis volatility in recent years. In turn, these increasingly erratic swings in basis have increased producers’ price risk exposure and added a volatile component to their marketing plans. This paper seeks to apply regime-switching econometrics models to basis forecasting to provide a model that adjusts to changing volatility structures with the intent of improving forecasts in periods of volatile basis. Using basis data from 1981 through 2009 from ten reporting locations in Ohio, we find that although models using time series econometrics can provide better short run basis forecasts, simple five year moving average models are difficult to improve upon for more distant forecasting. Moreover, although there is statistical evidence in favor of the regime-changing models, they provide no real forecasting improvement over simpler autoregressive models.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2012-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/285765/files/confp16-12.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:n13412:285765

DOI: 10.22004/ag.econ.285765

Access Statistics for this paper

More papers in 2012 Conference, April 16-17, 2012, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().