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| Author | : Hikaru Hanawa Peterson |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2003 |
| Genre | : Corn |
| ISBN | : |
| Author | : Craig Pirrong |
| Publisher | : Cambridge University Press |
| Total Pages | : 238 |
| Release | : 2011-10-31 |
| Genre | : Business & Economics |
| ISBN | : 1139501976 |
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 | : C. L. Gilbert |
| Publisher | : |
| Total Pages | : 68 |
| Release | : 1990 |
| Genre | : Prices |
| ISBN | : |
The standard linear model fails to account for primary commodity price movements in any significant area, so it is important to do more empirical work to learn to which commodities this nonlinear model applies.
| Author | : Yanliang Miao |
| Publisher | : International Monetary Fund |
| Total Pages | : 49 |
| Release | : 2011-03-01 |
| Genre | : Business & Economics |
| ISBN | : 1455228060 |
We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand trends, shocks to the yield, and time-varying interest rates. While the computational burden increases exponentially, the augmented model succeeds in replicating all four key patterns of food commodity prices. Our simulation and comparative statics also show that (i) the long-run declining trend of food prices may come to a halt or even reverse due to the shifting balance between supply and demand; (ii) short-run price fluctuations are mainly attributable to sizeable, though low-probability, shocks to output such as inclement weather; and (iii) the impact of monetary policy, though small in normal times, is nonlinear and asymmetric, and can become large if the real rate passes a certain threshold.
| Author | : Mr.Shaun K. Roache |
| Publisher | : International Monetary Fund |
| Total Pages | : 31 |
| Release | : 2010-05-01 |
| Genre | : Business & Economics |
| ISBN | : 145520112X |
The macroeconomic effects of large food price swings can be broad and far-reaching, including the balance of payments of importers and exporters, budgets, inflation, and poverty. For market participants and policymakers, managing low frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across different commodities, suggesting an important role for common factors. It also identifies a number of determinants of low frequency volatility, two of which—the variation in U.S. inflation and the U.S. dollar exchange rate—explain a relatively large part of the rise in volatility since the mid-1990s.
| Author | : Matthias Kalkuhl |
| Publisher | : Springer |
| Total Pages | : 620 |
| Release | : 2016-04-12 |
| Genre | : Business & Economics |
| ISBN | : 3319282018 |
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 | : Eugenio S. A. Bobenreith |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : Economics |
| ISBN | : |
High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are unbounded. We derive its implications for price time series and empirical tests of price behavior. In this model commodity price is equal to marginal consumption value, and hence bubbles as defined in financial economics cannot occur. However the model generates episodes of price runs that could be characterized as "explosive" and might seem to be bubble-like. At sufficiently long holding periods, a price path can yield average returns consistent with mean reversion, even though the long run expectation of price is infinite.
| Author | : Jeffrey C. Williams |
| Publisher | : Cambridge University Press |
| Total Pages | : 522 |
| Release | : 1991-03-29 |
| Genre | : Business & Economics |
| ISBN | : 0521326168 |
This book deals with the capability to store surplus commodities and the impact of stockpiles on prices and production.
| Author | : William G. Tomek |
| Publisher | : Cornell University Press |
| Total Pages | : 484 |
| Release | : 2014-05-08 |
| Genre | : Business & Economics |
| ISBN | : 0801471109 |
Published continuously since 1972, Agricultural Product Prices has become the standard textbook and reference work for students in agricultural and applied economics, buyers and sellers of commodities, and policymakers, clearly explaining conceptual and empirical models applicable to agricultural product markets. The new fifth edition uses up-to-date information and models to explain the behavior of agricultural product prices. Topics include price differences over market levels (marketing margins), price differences over space (regionally and internationally) and by quality attributes, and price variability with the passage of time (seasonal and cyclical variations, trends, and random behavior). William G. Tomek and Harry M. Kaiser review and adapt microeconomic principles to the characteristics of agricultural commodity markets and then apply these principles to the various dimensions of price behavior. They also provide an in-depth discussion of prices established for futures contracts and their relationship to cash (spot) market prices; cover the influential roles of price discovery institutions, such as auctions and negotiated contracts, and government policies regulating trade and farms; and discuss the specification, use, and evaluation of empirical models of agricultural prices, placing emphasis on the challenges of doing high-quality, useful analyses and interpreting results.
| Author | : |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 1990 |
| Genre | : Commodity control |
| ISBN | : |
