Understanding the price of DDGS

Vector Error Correction model (VECM);Forecasting;"Dried Distillers Grains with Solubles (DDGS)";Corn;Soybean Meal;Cointegration

Silvestri, Jake R. ; Irwin ; Scott H.

关键词: Vector Error Correction model (VECM);    Forecasting;    "Dried Distillers Grains with Solubles (DDGS)";    Corn;    Soybean Meal;    Cointegration;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/87970/SILVESTRI-THESIS-2015.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

This thesis explores the factors that affect the price of dried distillers’ grain with solubles (DDGS) in Iowa. Past studies focused on providing a descriptive analysis of DDGS prices, risk management practices or analyzing regional DDGS price differences. Time series methods are used to investigate the presence of a cointegrating relationship between weekly DDGS prices, soybean meal prices and corn prices in Iowa. The corn and soybean meal prices used in the analysis are spot prices rather than futures prices. When seasonality in the data is controlled for, a cointegrating relationship between the three price series is found and a Vector Error Correction model (VECM). Additionally, weak exogeneity testing shows that corn is weakly exogenous. The cause of this finding may be differences in the ease of storing the three commodities. Granger causality gives insight into the direction of causality between the three price series. Impulse response functions are also included in the analysis. The VECM that is fit to the data also demonstrates value as a forecasting tool at up to four time horizons.