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Agricultural commodities pricing model applied to the Brazilian sugar market
Author(s) -
Pereira Leonel M.,
de Oliveira Ribeiro Celma,
Securato José R.
Publication year - 2012
Publication title -
australian journal of agricultural and resource economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.683
H-Index - 49
eISSN - 1467-8489
pISSN - 1364-985X
DOI - 10.1111/j.1467-8489.2012.00594.x
Subject(s) - kalman filter , economics , econometrics , yield (engineering) , sugar , agriculture , component (thermodynamics) , agricultural economics , mathematics , statistics , geography , biochemistry , materials science , physics , chemistry , archaeology , metallurgy , thermodynamics
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.