Is There Excess Co-movement of Primary Commodity Prices? PDF Download

Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 239

View

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: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451953089
Category : Business & Economics
Languages : en
Pages : 46

View

Book Description
Commodity prices may be a leading indicator of inflation, because of the relative importance of flexible auction markets for the determination of these prices. Empirical tests using data for the large industrial countries as a group suggest that changes in commodity prices tend to lead those in consumer prices, and that the inclusion of commodity prices significantly improves the fit of regressions of a multi-country consumer price index. However, there does not appear to be a reliable long-run relationship between the level of commodity prices and the level of consumer prices.

Author: Matthias Kalkuhl
Publisher: Springer
ISBN: 3319282018
Category : Business & Economics
Languages : en
Pages : 620

View

Book Description
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Author: Jeffrey C. Williams
Publisher: Cambridge University Press
ISBN: 0521326168
Category : Business & Economics
Languages : en
Pages : 522

View

Book Description
This book deals with the capability to store surplus commodities and the impact of stockpiles on prices and production.

Author: Samya Beidas-Strom
Publisher: International Monetary Fund
ISBN: 1498333486
Category : Business & Economics
Languages : en
Pages : 34

View

Book Description
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Author: de Nicola, Francesca
Publisher: Intl Food Policy Res Inst
ISBN:
Category : Social Science
Languages : en
Pages : 44

View

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: Ronald Trostle
Publisher: DIANE Publishing
ISBN: 1437988342
Category : Social Science
Languages : en
Pages : 29

View

Book Description
Between early June 2010 and February 2011, prices of food commodities increased sharply, surpassing the 2008 peaks that had spread anxiety among policymakers and low-income consumers around the world. Most of the long-term trends in agricultural production and consumption that contributed to the 2002-06 price increases and the 2007-08 price spike also contributed to the recent price surge. This report describes the factors that have contributed to the large and rapid increase in agricultural prices during the past year. It focuses particularly on food commodity prices¿which have risen 60 percent since June 2010. Charts and tables. This is a print on demand edition of an important, hard-to-find publication.

Author: Robin G. Adams
Publisher: Emerald Group Publishing
ISBN: 1789737893
Category : Business & Economics
Languages : en
Pages : 205

View

Book Description
This book brings together perspectives from economics, specifically minerals economics, to the management of global mining companies. It covers volatile price forecasting, cost analysis, investment decisions, and the social, environmental, and developmental impacts of mining.

Author: Jörg Breitung
Publisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29

View

Book Description

Author: Gary O'Callaghan
Publisher:
ISBN: 9781557752819
Category : Business & Economics
Languages : en
Pages : 39

View

Book Description
Dated September 1993