Income growth in emerging economies has often been cited as a key driver of the past decade’s com-modity price boom—the longest and broadest boom since World War II. This paper shows that income has a negative and highly significant effect on real food commodity prices, a finding that is...

Corn prices experienced enormous volatility over the last decade. In this paper, we apply a structural vector autoregression model to quantify the relative importance of various contributing factors in driving corn price movements. The identification of the structural parameters is achieved...

Price forecasts are critical to market participants when making production and marketing decisions and to policymakers who administer commodity programs and assess the market impact of domestic or international events. With the exceptionally volatile conditions experienced in the corn market...

Income growth in emerging economies has often been cited as a key driver of the past decade?s com-modity price boom?the longest and broadest boom since World War II. This paper shows that income has a negative and highly significant effect on real food commodity prices, a finding that is...

We investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Using a Vector Error Correction Model for the conditional mean equation and a...

In this paper, we seek to identify the price and volatility transmission mechanisms between DDGS, corn, and soybean meal markets to better inform market participants who wish to manage price risks in these three markets. Using weekly data from January 2000 to May 2016, we find important...

Natural gas price forecasting is critical to many macroeconomic projection models and plays a vital role in state budget planning in energy-producing states. We examine the performances of various individual and composite forecasting models when predicting natural gas prices in the United...

This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four widely-recognized outlook programs are combined with futures-based forecasts, ARMA, and unrestricted Vector Autoregressive...

In this paper, we investigate supply and demand shocks in the US natural gas market, focusing on how the effects of these shocks have changed over time. Using a sign-identified structural vector autoregression (SVAR) model that allows for both time-varying parameters and stochastic volatility,...