U.S. corn exports: the role of the exchange rate

Abstract

Time series econometric methods are applied to monthly observational data over the period 1978-1992 on real exchange rates, real corn prices, corn export sales, and corn export shipments for the United States. In-sample fit and out-of-sample forecast results are used to discern whether exchange rates have elicited systematic responses in U.S. corn prices, sales and shipments, and whether the dynamic transmission mechanisms tying these variables together have changed over time. A structural break appears to have occurred in early 1985. No cointegration is found between exchange rates, price, sales, and shipments in either sub-period. Influences are all short-run or between stationary variables. The role of the exchange rate appears to have moderated in the post-1985 period. Implications for policy analysis are discussed.