Forecasting the spot prices of various coffee types using linear and non-linear error correction models

Este documento estima modelos lineales y no-lineales de corrección de errores para los precios spot de cuatro tipos de café. En concordancia con las leyes económicas, se encuentra evidencia que cuando los precios están por encima de su nivel de equilibrio, retornan a éste mas lentamente que cuando están por debajo. Esto puede reflejar el hecho que, en el corto plazo, para los países productores de café es mas fácil restringir la oferta para incrementar precios, que incrementarla para reducirlos. Además, se encuentra evidencia que el ajuste es más rápido cuando las desviaciones del equilibrio son mayores. Los pronósticos que se obtienen a partir de los modelos de corrección de errores no lineales y asimétricos considerados en el trabajo, ofrecen una leve mejoría cuando se comparan con los pronósticos que resultan de un modelo de paseo aleatorio.

Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

Application of the Lighthill-Ford theory of spontaneous imbalance to clear-air turbulence forecasting

A new method of clear-air turbulence (CAT) forecasting based on the Lighthill–Ford theory of spontaneous imbalance and emission of inertia–gravity waves has been derived and applied on episodic and seasonal time scales. A scale analysis of this shallow-water theory for midlatitude synoptic-scale flows identifies advection of relative vorticity as the leading-order source term. Examination of leading- and second-order terms elucidates previous, more empirically inspired CAT forecast diagnostics. Application of the Lighthill–Ford theory to the Upper Mississippi and Ohio Valleys CAT outbreak of 9 March 2006 results in good agreement with pilot reports of turbulence. Application of Lighthill–Ford theory to CAT forecasting for the 3 November 2005–26 March 2006 period using 1-h forecasts of the Rapid Update Cycle (RUC) 2 1500 UTC model run leads to superior forecasts compared to the current operational version of the Graphical Turbulence Guidance (GTG1) algorithm, the most skillful operational CAT forecasting method in existence. The results suggest that major improvements in CAT forecasting could result if the methods presented herein become operational.

Stratospheric circulation in seasonal forecasting models: implications for seasonal prediction

Accurate seasonal forecasts rely on the presence of low frequency, predictable signals in the climate system which have a sufficiently well understood and significant impact on the atmospheric circulation. In the Northern European region, signals associated with seasonal scale variability such as ENSO, North Atlantic SST anomalies and the North Atlantic Oscillation have not yet proven sufficient to enable satisfactorily skilful dynamical seasonal forecasts. The winter-time circulations of the stratosphere and troposphere are highly coupled. It is therefore possible that additional seasonal forecasting skill may be gained by including a realistic stratosphere in models. In this study we assess the ability of five seasonal forecasting models to simulate the Northern Hemisphere extra-tropical winter-time stratospheric circulation. Our results show that all of the models have a polar night jet which is too weak and displaced southward compared to re-analysis data. It is shown that the models underestimate the number, magnitude and duration of periods of anomalous stratospheric circulation. Despite the poor representation of the general circulation of the stratosphere, the results indicate that there may be a detectable tropospheric response following anomalous circulation events in the stratosphere. However, the models fail to exhibit any predictability in their forecasts. These results highlight some of the deficiencies of current seasonal forecasting models with a poorly resolved stratosphere. The combination of these results with other recent studies which show a tropospheric response to stratospheric variability, demonstrates a real prospect for improving the skill of seasonal forecasts.

Teleconnections between Ethiopian summer rainfall and sea surface temperature: part II. Seasonal forecasting

A seasonal forecasting system that is capable of skilfully predicting rainfall totals on a regional scale would be of great value to Ethiopia. Here, we describe how a statistical model can exploit the teleconnections described in part 1 of this pair of papers to develop such a system. We show that, in most cases, the predictors selected objectively by the statistical model can be interpreted in the light of physical teleconnections with Ethiopian rainfall, and discuss why, in some cases, unexpected regions are chosen as predictors. We show that the forecast has skill in all parts of Ethiopia, and argue that this method could provide the basis of an operational seasonal forecasting system for Ethiopia.

Toward an integrated seasonal forecasting system for South America

This study proposes an objective integrated seasonal forecasting system for producing well-calibrated probabilistic rainfall forecasts for South America. The proposed system has two components: ( i) an empirical model that uses Pacific and Atlantic sea surface temperature anomalies as predictors for rainfall and ( ii) a multimodel system composed of three European coupled ocean - atmosphere models. Three-month lead austral summer rainfall predictions produced by the components of the system are integrated ( i. e., combined and calibrated) using a Bayesian forecast assimilation procedure. The skill of empirical, coupled multimodel, and integrated forecasts obtained with forecast assimilation is assessed and compared. The simple coupled multimodel ensemble has a comparable level of skill to that obtained using a simplified empirical approach. As for most regions of the globe, seasonal forecast skill for South America is low. However, when empirical and coupled multimodel predictions are combined and calibrated using forecast assimilation, more skillful integrated forecasts are obtained than with either empirical or coupled multimodel predictions alone. Both the reliability and resolution of the forecasts have been improved by forecast assimilation in several regions of South America. The Tropics and the area of southern Brazil, Uruguay, Paraguay, and northern Argentina have been found to be the two most predictable regions of South America during the austral summer. Skillful rainfall forecasts are generally only possible during El Nino or La Nina years rather than in neutral years.