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Author: Mr.Ron Alquist
Publisher: International Monetary Fund
ISBN: 1484378148
Category : Business & Economics
Languages : en
Pages : 63
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Book Description
We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations.
Author: Mr.Ron Alquist
Publisher: International Monetary Fund
ISBN: 1484378148
Category : Business & Economics
Languages : en
Pages : 63
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Book Description
We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the combined contribution of all aggregate shocks which have no direct effects on commodity markets other than through general equilibrium effects on output, while other factors represent direct commodity shocks. Thus, the factor structure provides a decomposition of underlying structural shocks. The theory also provides guidance on how empirical factors can be rotated to identify the structural factors. We apply factor analysis and the identification conditions implied by the model to a cross-section of real non-energy commodity prices. The theoretical restrictions implied by the model are consistent with the data and thus yield a structural interpretation of the common factors in commodity prices. The analysis suggests that commodity-related shocks have generally played a limited role in global business cycle fluctuations.
Author: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451858329
Category : Business & Economics
Languages : en
Pages : 21
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Book Description
There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in the same boom period or same slump period. Using data on the prices of several unrelated commodities, the paper finds no evidence of comovement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behavior by participants in world commodity markets.
Author: Ron Alquist
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 0
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Book Description
Guided by a macroeconomic model in which commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide the factors with an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.
Author: de Nicola, Francesca
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Social Science
Languages : en
Pages : 44
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Book Description
This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural, and food commodities using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure.
Author: MD Towhidul Islam
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages :
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Book Description
My dissertation aims at developing econometric tests to study nonstationarity in panel data allowing for cross-correlations. The first chapter examines excessive comovement and nonstationarity in commodity prices. Pindyck and Rotemberg (1990) found excessive comovements among prices of a broad set of commodities. Wang and Tomek (2007) argue that commodity prices should be stationary and convergent though literature shows otherwise. I use both the principal component analysis (PCA) and dynamic factor models (DFM) to extract the comovements. We find some comovements, but they are not excessive. Then I control for the common factors and structural breaks in our unit root tests. I show that most commodity prices are non-stationary even after accounting for comovements and structural breaks. The second chapter studies the Prebisch-Singer (PS) hypothesis implying that commodity prices decline relative to industrial prices over the time. This has important implications for the growth of developing countries though the empirical evidence on the hypothesis is mixed. Using the dynamic factor models and principal component analyses I find significant comovements. I employ the residual augmented least squares (RALS) procedure to utilize the information contained in those factors and in the non-normal errors. I use Fourier function to model structural changes. Using data from 1900 to 2018, I find significantly negative trend in the common Fourier function and the dynamic common factor of the relative prices which supports the PS hypothesis. Out of the 24 individual relative commodity prices, I find negative trend in 12, positive trend in 6 and no clear pattern in others. I find an emerging positive trend in several of them from early 2000s. The last chapter develops a new unit-root test that accounts for dummy breaks and factors extend the two break tests of Lee and Strazicich (2003) in a factor structure to allow for cross-correlations using the PANIC procedure of Bai and Ng (2004). Then, we apply the new tests to examine the stochastic convergence of carbon dioxide (CO2) emissions for a set of 30 OECD countries during the period 1960-2018. Our results show that the null of no convergence is rejected only for a few countries.
Author: Theodosios B. Palaskas
Publisher: World Bank Publications
ISBN:
Category : Modelos econometricos
Languages : en
Pages : 46
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Book Description
Author: Robert S. Pindyck
Publisher:
ISBN:
Category : Prices
Languages : en
Pages : 50
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Book Description
This paper tests and confirms the existence of a puzzling phenomenon - the prices of largely unrelated raw commodities have a persistent tendency to move together. We show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current, or expected future values of macroeconomic variables such as inflation, industrial production, interest rates, and exchange rates. These results are a rejection of the standard competitive model of commodity price formation with storage.
Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Mathieu Fournier
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The 2007-2008 food crisis had severe political, economic, and social consequences worldwide and shed light on the new existing integration between energy and agricultural commodity markets. Scholars subsequently analyzed the factors that had given raise to this integration and were particularly interested in the contribution of the three price transmission channels: the cost, financialization, and substitution channel. Using daily futures prices over the period from January 1990 to December 2014 for twenty-four US commodities, the study at hand extends the existing research and provides evidence of potential structural breaks in the comovement between energy and agricultural commodity prices, assesses the relative importance of each of the three price transmission channels in integrating energy and agricultural commodity markets, and estimates the potential contribution of important US biofuels regulations to this integration. By following a statistical approach that was recently developed, this study, first of all, demonstrates that agricultural commodities that can also be used as biofuel feedstocks exhibit structural breaks in their comovement with crude oil at the end of the Summer 2004. Using a Difference-in-Differences approach, the study at hand then decomposes the contribution of the different price transmission channels to the comovement variations during the 2005-2014 period. It provides evidence for the contribution of all three channels to a massive comovement increase after January 2005, and shows that the substitution channel subsequently contributed to a comovement decrease at the beginning of 2010. Overall, this study concludes that the jump in comovement between US energy and agricultural commodity prices that occurred between 2005 and 2010, and ultimately contributed to the severe food crisis, was caused by both extreme high crude oil prices and US regulations promoting biofuels. In this respect, this study id.
Author: M. A. H. Dempster
Publisher: CRC Press
ISBN: 1498712339
Category : Business & Economics
Languages : en
Pages : 725
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Book Description
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
