Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.


Issue Date:
2012-12
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/229817
Published in:
Australian Journal of Agricultural and Resource Economics, Volume 56, Issue 4
Page range:
542-557
Total Pages:
16




 Record created 2017-04-01, last modified 2017-08-22

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