United States is the world’s largest producer of corn, accounting for 39% of total corn
produced. Soybeans is the second largest crop in cash sales, and the number one export
crop in the U.S., accounting for 27% of the world’s soybean production. Wheat ranks third
among the U.S. field crops in both planted acreage and gross farm receipts. The objective
of this study is to forecast corn, soybean and wheat prices using time series regression
model with seasonal dummies, autoregressive models and monthly price index and also to
understand the relationship between exchange rate and commodity prices. Twenty three
years of monthly data starting from 1991 to 2013, obtained from National Agricultural
Statistics Service, USDA, were used in this study to forecast commodity prices. Results
reveal that forecasted corn prices for 2014 range from $4.74 to $5.013, while soybean
prices for the same time period range from $11.085 to $11.803 and wheat prices range from
$6.14 to $6.58 and the results are on par with actual prices. The outcome of this study can
aid both growers and end users in making optimal production decisions and in managing
overall price risk.
United States is the world’s largest producer of corn, accounting for 39% of total cornproduced. Soybeans is the second largest crop in cash sales, and the number one exportcrop in the U.S., accounting for 27% of the world’s soybean production. Wheat ranks thirdamong the U.S. field crops in both planted acreage and gross farm receipts. The objectiveof this study is to forecast corn, soybean and wheat prices using time series regressionmodel with seasonal dummies, autoregressive models and monthly price index and also tounderstand the relationship between exchange rate and commodity prices. Twenty threeyears of monthly data starting from 1991 to 2013, obtained from National AgriculturalStatistics Service, USDA, were used in this study to forecast commodity prices. Resultsreveal that forecasted corn prices for 2014 range from $4.74 to $5.013, while soybeanprices for the same time period range from $11.085 to $11.803 and wheat prices range from$6.14 to $6.58 and the results are on par with actual prices. The outcome of this study canaid both growers and end users in making optimal production decisions and in managingoverall price risk.
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