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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: 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: Paul Cashin
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 26
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Book Description
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: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451857292
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
This paper examines the duration and magnitude of commodity-price cycles. It finds that for most commodities, price slumps last longer than price booms. How far prices fall in a slump is found to be slightly larger than how far they rebound in a subsequent boom. There is little evidence of a consistent ‘shape’ to commodity-price cycles. For all commodities, the probability of an end to a slump in prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in prices is independent of the time already spent in the boom.
Author: Mikidadu Mohammed
Publisher: Routledge
ISBN: 1000485129
Category : Business & Economics
Languages : en
Pages : 215
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Book Description
The behaviour of commodity prices never ceases to marvel economists, financial analysts, industry experts, and policymakers. Unexpected swings in commodity prices used to occur infrequently but have now become a permanent feature of global commodity markets. This book is about modelling commodity price shocks. It is intended to provide insights into the theoretical, conceptual, and empirical modelling of the underlying causes of global commodity price shocks. Three main objectives motivated the writing of this book. First, to provide a variety of modelling frameworks for documenting the frequency and intensity of commodity price shocks. Second, to evaluate existing approaches used for forecasting large movements in future commodity prices. Third, to cover a wide range and aspects of global commodities including currencies, rare–hard–lustrous transition metals, agricultural commodities, energy, and health pandemics. Some attempts have already been made towards modelling commodity price shocks. However, most tend to narrowly focus on a subset of commodity markets, i.e., agricultural commodities market and/or the energy market. In this book, the author moves the needle forward by operationalizing different models, which allow researchers to identify the underlying causes and effects of commodity price shocks. Readers also learn about different commodity price forecasting models. The author presents the topics to readers assuming less prior or specialist knowledge. Thus, the book is accessible to industry analysts, researchers, undergraduate and graduate students in economics and financial economics, academic and professional economists, investors, and financial professionals working in different sectors of the commodity markets. Another advantage of the book’s approach is that readers are not only exposed to several innovative modelling techniques to add to their modelling toolbox but are also exposed to diverse empirical applications of the techniques presented.
Author: Walter C. Labys
Publisher: Routledge
ISBN: 1351917080
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Author: Jan Dehn
Publisher: World Bank Publications
ISBN:
Category : Agricultural prices
Languages : en
Pages : 66
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Book Description
The author estimates the effects on growth of commodity price shocks, and uncertainty within an established empirical growth model. Ex-post shocks, and ex-ante uncertainty have been treated in the empirical literature as if they were synonymous. But they are distinct concepts, and it is both theoretically, and empirically inappropriate to treat them as synonymous. He shows that the interaction between policy, and aid is robust to the inclusion of variables capturing commodity price movements. More important, his approach departs in three ways from earlier empirical studies of the subject: 1) It deals with issues of endogeneity, without incurring an excessive loss of efficiency. 2) It defines the dependent variable to allow an assessment of the longer-term implications of temporary trade shocks. 3) It imposes no priors on how commodity price movements affect growth, but compares and contrasts a range of competing shock, and uncertainty specifications. The author resolves the disagreement about the long-run effect of positive shocks on growth, finding that positive shocks have no long-run impact on growth (that windfalls from trade shocks do not translate into sustainable increases in income). He shows that negative shocks have large, highly significant, and negative effects on growth, but that commodity price uncertainty does not affect growth.
Author: Isabelle Piot-Lepetit
Publisher: Springer Science & Business Media
ISBN: 1441976345
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.
Author: Gardebroek, Cornelis
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 dynamics of volatility between the corn, wheat, and soybean markets in the United States. Volatility interactions across markets, if they exist, may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when analyzing the pricing behavior of different agricultural commodities. We follow a Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to evaluate the level of interdependence and volatility transmission across these major crops on a daily, weekly, and monthly basis.
Author: Jan Toporowski
Publisher: Edward Elgar Publishing
ISBN: 1849805954
Category : Business & Economics
Languages : en
Pages : 339
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Book Description
This vital new Handbook is an authoritative volume presenting key issues in finance that have been widely discussed in the financial markets but have been neglected in textbooks and the usual compilations of conventional academic wisdom. A wide range of topics including the recent economic crisis, capital controls, the Franc Zone, quantitative easing and securitization, as well as the key controversies associated with them, are explored and explained in depth by well-known authorities in finance and economics. Designed to complement and expand upon standard textbooks as well as the specialist critical literature on particular topics in finance, this informative Handbook will prove invaluable to academics, researchers and students focusing on economics, finance and heterodox economics.
