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Journal of Agricultural and Applied Economics >
Volume 41, Number 01, April 2009 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/48760
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| Title: | The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior |
| Authors: | Ramirez, Octavio A. |
| Keywords: | asymmetric cycles
coffee prices
soybean prices
threshold autoregressive
models
time series forecasting |
| JEL Codes: | C22
C53 |
| Issue Date: | 2009-04 |
| Abstract: | The behavior of agricultural commodity markets can arguably result in markedly asymmetric
price cycles, that is, downward cycles of substantially different length and breadth than
upward cycles. This study assesses whether asymmetric-cycle models can enhance the understanding
of the dynamics and provide for a better forecasting of U.S. soybeans and
Brazilian coffee prices. The forecasts from asymmetric cycle models are found to be substantially
mode precise than those obtained from standard autoregressive models. The
asymmetric cycle models also provide useful insights on the markedly different dynamics of
the upward versus the downward cycles exhibited by the prices of these two commodities. |
| URI: | http://purl.umn.edu/48760 |
| Institution/Association: | Journal of Agricultural and Applied Economics>Volume 41, Number 01, April 2009 |
| Total Pages: | 14 |
| From Page: | 253 |
| To Page: | 270 |
| Collections: | Volume 41, Number 01, April 2009
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