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Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach

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Abstract

This paper explores the role of crude oil in determining corn prices for data on the weekly front future prices in the United States. With 38% of corn production allocated toward fuel ethanol, a possible effect of crude oil price variation on corn price fluctuations is theoretically indicated. To test this theory, two complementary approaches—a parametric multiple regression and a non-parametric multivariate adaptive regression splines approach are employed. Along with indicating a weak relationship between corn and crude oil prices, the results suggest that corn price responds nonlinearly to the changes in soybean and wheat prices.

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Acknowledgements

The authors acknowledge the collegiate review received from the Editor and the anonymous reviewer that substantially improved the quality of this research paper. This is a significantly modified version of a paper presented at the 5th IIMA International Conference on Advanced Data Analysis, Business Analytics and Intelligence. The author is thankful to the session participants for their valuable comments.

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  1. Institute of Management Technology, Nagpur, India

    Subrata K. Mitra

  2. Indian Institute of Management Lucknow, Lucknow, India

    Debdatta Pal

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Mitra, S.K., Pal, D. Role of Crude Oil in Determining the Price of Corn in the United States: A Non-parametric Approach. J. Quant. Econ. (2024). https://doi.org/10.1007/s40953-024-00382-1

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