Forecasting U.S. Cotton Prices in a Changing Market

Abstract

The purpose of this study is to analyze structural changes that took place in the cotton industry and develop a statistical model that reflects the current drivers of U.S. upland cotton prices. This study concludes that a structural break in the U.S. cotton industry occurred in 1999, and that world cotton supply has become an important determinant of U.S. cotton prices. The model developed here forecasts changes in U.S. cotton price based on changes in U.S. cotton supply, changes in U.S. stocks-to-use ratio (S/U), changes in China's net imports as a share of world consumption, the proportion of U.S. cotton engaged in the loan program, and changes in world supply of cotton.

Citation

Isengildina-Massa, O. and MacDonald, S. (2013), "Forecasting U.S. Cotton Prices in a Changing Market", Lawrence, K.D. and Klimberg, R.K. (Ed.) Advances in Business and Management Forecasting (Advances in Business and Management Forecasting, Vol. 9), Emerald Group Publishing Limited, Leeds, pp. 91-113. https://doi.org/10.1108/S1477-4070(2013)0000009010