The role of the U.S. exchange-rate equity market volatility on agricultural exports and forecasts

Abstract

This article estimates the U.S. state-level soybean export forecast until December 2024 using a seasonal autoregressive integrated moving average (SARIMA) model. We utilize the newly developed exchange-rate equity market volatility (EMV-EX) to improve model fit and the Dirichlet process mixture model (DPMM) to control for unobserved heterogeneity. Using monthly data from January 2004 to December 2020, the study shows that soybean exports for states without ports are underestimated at the expense of states with ports. The EMV-EX has a positive effect on soybean exports. The forecasts reveal no expected changes in the trends for soybean exports until December 2024. This study's results are useful to make and to implement more informed policy decisions for risk-mitigating strategies such as the market-facilitation program.