Commodity Factor Model and Short-Term Price Scenarios: the case of soybean

Abstract

This paper analyzes the short-term scenarios for soybeans spot prices. We include a seasonal
component while modeling the non-observable variables through stochastic processes. The
model was estimated using the Kalman filter over observable prices of future contracts term
structure. The results show a more favorable scenario for producers and exporters. However,
consumers and importers are indicated to hedge their positions. The analysis is extensible to
other commodities dependent on seasonality. Likewise, the model can be used to price derivatives,
where the future price is the underline asset.