Basis Forecasting Performance of Composite Models: An Application to Corn and Soybean Markets

Kexin Ding and Berna Karali

No 309625, 2019 Conference, April 15-16, 2019, Minneapolis, Minnesota from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Numerous studies have examined the performance of different models on basis forecasting while none of them has compared relative performance of composite models. In order to further improve basis forecasting accuracy, the crux of hedge management strategies, we investigate basis forecasting performance of selected composite models, as well as various individual models. Empirical results based on weekly futures and cash prices for major North Carolina corn and soybean markets indicate that composite models have more stable and better performance in forecasting basis compared to individual models’ forecasts. The informationtheoretic forecast combination method is found to be superior among the composite models considered.

Keywords: Crop; Production/Industries (search for similar items in EconPapers)
Pages: 47
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13419:309625

DOI: 10.22004/ag.econ.309625

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