The Asymmetric Cycling of U.S. Soybeans and Brazilian Coffee Prices: An Opportunity for Improved Forecasting and Understanding of Price Behavior

The behavior of agricultural commodity markets can arguably result in markedly asymmetricprice cycles, that is, downward cycles of substantially different length and breadth thanupward cycles. This study assesses whether asymmetric-cycle models can enhance the understandingof the dynamics and provide for a better forecasting of U.S. soybeans andBrazilian coffee prices. The forecasts from asymmetric cycle models are found to be substantiallymode precise than those obtained from standard autoregressive models. Theasymmetric cycle models also provide useful insights on the markedly different dynamics ofthe upward versus the downward cycles exhibited by the prices of these two commodities.