Revista de Economia e Sociologia Rural
https://revistasober.org/article/doi/10.1590/1806-9479.2021.236922
Revista de Economia e Sociologia Rural
Original Article

The role of transition regime models for corn prices forecasting

O papel de modelos de regime de transição para previsão de preços do milho

Vinícius Phillipe de Albuquerquemello; Rennan Kertlly de Medeiros; Diego Pitta de Jesus; Felipe Araujo de Oliveira

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Abstract

Abstract: Given the relevance of corn for food and fuel industries, analysts and scholars are constantly comparing the forecasting accuracy of econometric models. These exercises test not only for the use of new approaches and methods, but also for the addition of fundamental variables linked to the corn market. This paper compares the accuracy of different usual models in financial macro-econometric literature for the period between 1995 and 2017. The main contribution lies in the use of transition regime models, which accommodate structural breaks and perform better for corn price forecasting. The results point out that the best models as those which consider not only the corn market structure, or macroeconomic and financial fundamentals, but also the non-linear trend and transition regimes, such as threshold autoregressive models.

Keywords

forecasting, corn prices, accuracy, econometric models

Resumo

Resumo: Dada a relevância do milho para as indústrias de alimentos e combustíveis, analistas e acadêmicos estão constantemente comparando a precisão das previsões dos modelos econométricos. Esses exercícios testam não apenas o uso de novas abordagens e métodos, mas também a adição de variáveis fundamentais ligadas ao mercado de milho. Este artigo compara a precisão de diferentes modelos usuais na literatura macro-econométrica financeira para o período entre 1995 e 2017. A principal contribuição está no uso de modelos de transição de regime, que acomodam quebras estruturais e têm melhor desempenho na previsão do preço do milho. Os resultados apontam que os melhores modelos são aqueles que consideram não apenas a estrutura do mercado de milho, ou fundamentos macroeconômicos e financeiros, mas também a tendência não linear e as transições de regime, como os modelos autorregressivos threshold.
 

Palavras-chave

previsão, preços do milho, acurácia, modelos econométricos

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Submetido em:
21/04/2020

Aceito em:
27/02/2021

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