The Comovement In Commodity Prices
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The Comovement In Commodity Prices
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Author : Mr.Ron Alquist
language : en
Publisher: International Monetary Fund
Release Date : 2013-06-05
The Comovement In Commodity Prices written by Mr.Ron Alquist and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-05 with Business & Economics categories.
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.
The Myth Of Comoving Commodity Prices
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Author : Mr.Paul Cashin
language : en
Publisher: International Monetary Fund
Release Date : 1999-12-01
The Myth Of Comoving Commodity Prices written by Mr.Paul Cashin and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-12-01 with Business & Economics categories.
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.
Is There Excess Co Movement Of Primary Commodity Prices
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Author : Theodosios B. Palaskas
language : en
Publisher: World Bank Publications
Release Date : 1991
Is There Excess Co Movement Of Primary Commodity Prices written by Theodosios B. Palaskas and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Modelos econometricos categories.
Co Movement Of Major Commodity Price Returns A Time Series Assessment
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Author : de Nicola, Francesca
language : en
Publisher: Intl Food Policy Res Inst
Release Date : 2014-06-13
Co Movement Of Major Commodity Price Returns A Time Series Assessment written by de Nicola, Francesca and has been published by Intl Food Policy Res Inst this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-13 with Social Science categories.
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.
Commodities
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Author : M. A. H. Dempster
language : en
Publisher: CRC Press
Release Date : 2015-11-05
Commodities written by M. A. H. Dempster and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-05 with Business & Economics categories.
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 commodity prices, the real economy, and other financial markets. After an extensive theoretical and practical introduction, the book is divided into four parts: Oil Products – considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities – examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets – investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets – supplies an overview of the current and future modelling of electricity markets With contributions from well-known academics and practitioners, this volume includes coverage of the fundamental theory of futures/forwards and derivatives pricing for major commodity markets. The contributions to Sections I and II of this volume, which treat storable or agricultural commodities, take speculation into account through a consideration of markets over time being either in backwardation or contango. Up-to-date considerations of both trading and investment are included in Sections I, II, and III. The book also reviews the effects of urbanization and the expanding middle-class population on commodities.
Co Movement Of Major Commodity Price Returns
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Author : Francesca de Nicola
language : en
Publisher:
Release Date : 2017
Co Movement Of Major Commodity Price Returns written by Francesca de Nicola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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 based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of unconditional and conditional correlations. The results indicate that (i) the price returns of energy and agricultural commodities are highly correlated; (ii) the overall level of co-movement among commodities increased in recent years, especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil, which are important inputs in the production of biofuels; and (iii) particularly after 2007, stock market volatility is positively associated with the co-movement of price returns across markets.
The Economics And Finance Of Commodity Price Shocks
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Author : Mikidadu Mohammed
language : en
Publisher: Routledge
Release Date : 2021-11-25
The Economics And Finance Of Commodity Price Shocks written by Mikidadu Mohammed and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-11-25 with Business & Economics categories.
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.
Deconstructing Wheat Price Spikes
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Author : United States Department of Agriculture
language : en
Publisher: CreateSpace
Release Date : 2014-12-09
Deconstructing Wheat Price Spikes written by United States Department of Agriculture and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-09 with categories.
In 2008, wheat futures prices spiked and then crashed along with prices for other agri-cultural and nonagricultural commodities. Market observers offered several theories to explain this common movement, or comovement, in prices, and have proposed policies to address the perceived problem of excessive price volatility. The design of an appropriate policy response would benefit from a better understanding of the cause of the observed price movements. This study uses an econometric model to decompose observed wheat prices into a set of economic factors and measure the relative contribution of each factor to observed price changes. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes in the three U.S. wheat futures markets. Fluctuations in the global macroeconomy associated with broadbased demand shocks were relatively less significant for wheat than for other commodities like crude oil and corn. Finally, little evidence suggests commodity index trading contributed to recent price spikes.
The Influence Of Commodity Speculation On Commodity Price Development
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Author : Nicolas Schreiber
language : de
Publisher: GRIN Verlag
Release Date : 2016-07-15
The Influence Of Commodity Speculation On Commodity Price Development written by Nicolas Schreiber and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-15 with Business & Economics categories.
Bachelorarbeit aus dem Jahr 2014 im Fachbereich BWL - Bank, Börse, Versicherung, Johann Wolfgang Goethe-Universität Frankfurt am Main, Sprache: Deutsch, Abstract: Commodity prices have been rising significantly since the early 2000s with price growth reaching its fastest pace between 2006 and 2008. While nearly all commodities were hit by the aforementioned price spikes, price spikes where particularly pronounced for mineral commodities. For the most part of recent research two different approaches are applied to measure the impact of speculation on price development. The first one examines if there is any change in commodity price development due to the aforementioned increased financialization of commodity markets, whereas the second one compares the behavior of commodity prices with and without an existing futures market. This thesis combines both approaches and tests the hypotheses that either the first-time introduction of derivatives or the introductions of regulatory governmental acts that facilitate speculative index investment in commodities have significant effects on commodity price development by the example of copper traded on US-based exchanges. For this purpose, relevant copper price characteristics will be analyzed before and after possibly speculation-conducive events (i.e. the introduction of copper futures trading and two selected acts) for the period from 1971 to 2010. Furthermore, following Tang and Xiong (2012), this thesis examines if the introduction of governmental acts of the aforementioned type induces an increased market integration of non-energy commodity markets. This is of particular interest as market integration can at times induce increased volatility spillovers between the respective markets (Tang & Xiong, 2012). The first part of this work gives a short overview of the technical background necessary to understand the relationship between commodity prices and speculation. The second part provides a general review of related literature and research on the relationship between commodity prices and speculation. The third part focuses on the methodology of the empirical analysis. The fourth part of this work presents the results and is followed by the conclusion in part five.
The Comovement In Commodity Prices
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Author : Mr.Ron Alquist
language : en
Publisher: International Monetary Fund
Release Date : 2013-06-05
The Comovement In Commodity Prices written by Mr.Ron Alquist and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-05 with Business & Economics categories.
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.