  Frozen concentrated orange juice (FCOJ) is a commodity traded in the
International Commodity Exchange. The FCOJ future price volatility is high
because the world's orange production is concentrated in a few places, which
results in extreme sensitivity to weather and disease. Most of the oranges
produced in the United States are from Florida. The United States Department of
Agriculture (USDA) issues orange production forecasts on the second week of
each month from October to July. The October forecast in particular seems to
affect FCOJ price volatility. We assess how a prediction of the directionality
and magnitude of the error of the USDA October forecast could affect the
decision making process of multiple FCOJ market participants, and if the
"production uncertainty" of the forecast could be reduced by incorporating
other climate variables. The models developed open up the opportunity to assess
the application of the resulting probabilistic forecasts of the USDA production
forecast error on the trading decisions of the different FCOJ stakeholders, and
to perhaps consider the inclusion of climate predictors in the USDA forecast.

General Finance;Risk Management