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The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior

Published online by Cambridge University Press:  26 January 2015

Octavio A. Ramirez
Octavio A. Ramirez*
Affiliation:
Department of Agricultural and Applied Economics, University of Georgia, Athens, GA
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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 vs. the downward cycles exhibited by the prices of these two commodities.

Keywords

asymmetric cyclescoffee pricessoybean pricesthreshold autoregressive modelstime series forecastingC22C53
Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 41 , Issue 1 , April 2009 , pp. 253 - 270
Copyright
Copyright © Southern Agricultural Economics Association 2009

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