Modeling and Forecasting Primary Commodity Prices

Modeling and Forecasting Primary Commodity Prices
Author: Walter C. Labys
Publisher: Taylor & Francis
Total Pages: 260
Release: 2017-03-02
Genre: Business & Economics
ISBN: 1351917099

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.

Primary Commodity Prices

Primary Commodity Prices
Author: L. Alan Winters
Publisher: Cambridge University Press
Total Pages: 334
Release: 1990-03-08
Genre: Business & Economics
ISBN: 9780521385503

Commodity markets are of considerable interest and importance to economists, econometricians and dealers. This book reports the proceedings of an international conference on 'Primary Commodity Prices: Economic Models and Policy', held in London under the auspices of the Centre for Economic Policy Research in March 1989. A range of papers by leading international authorities covers topics such as expectations formation in econometric commodity market models; price determination in the market for aluminium; the estimation of dynamic disequilibrium models with rational expectations; and a comparison of forward markets and buffer stocks as commodity earnings stabilizers. A key feature of this stock is its development of the policy implications of theoretical and empirical work in the field of commodity economics. Most papers are accompanied by discussant's comments to draw out their technical and policy implications. The book's readership will include commodity economists, commodity market practitioners and policy analysis, as well as professionals and advanced students interested in the fields of applied econometrics, economic development and international trade.

Commodity Prices and Markets

Commodity Prices and Markets
Author: Takatoshi Ito
Publisher: University of Chicago Press
Total Pages: 346
Release: 2011-03
Genre: Business & Economics
ISBN: 0226386899

Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

Energy Transition Metals

Energy Transition Metals
Author: Lukas Boer
Publisher: International Monetary Fund
Total Pages: 41
Release: 2021-10-12
Genre: Business & Economics
ISBN: 1513599372

The energy transition requires substantial amounts of metals such as copper, nickel, cobalt and lithium. Are these metals a key bottleneck? We identify metal-specific demand shocks, estimate supply elasticities and pin down the price impact of the energy transition in a structural scenario analysis. Metal prices would reach historical peaks for an unprecedented, sustained period in a net-zero emissions scenario. The total value of metals production would rise more than four-fold for the period 2021 to 2040, rivaling the total value of crude oil production. Metals are a potentially important input into integrated assessments models of climate change.

Primary Commodities

Primary Commodities
Author: International Monetary Fund. Commodities Division
Publisher:
Total Pages: 116
Release: 1989
Genre: Business & Economics
ISBN:

Modeling and Forecasting Primary Commodity Prices

Modeling and Forecasting Primary Commodity Prices
Author: Walter C. Labys
Publisher: Routledge
Total Pages: 247
Release: 2017-03-02
Genre: Business & Economics
ISBN: 1351917080

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.

Managing Commodity Price Risk in Developing Countries

Managing Commodity Price Risk in Developing Countries
Author: Stijn Claessens
Publisher: World Bank Publications
Total Pages: 490
Release: 1993
Genre: Business & Economics
ISBN:

Primary commodities represent more than one-half of the export earnings of many developing countries. The large fluctuations that can occur in the prices of such commodities are therefore a main economic difficulty for these countries. New financial techniques can lower the risk caused by these price changes over longer periods and allow financial obligations to be linked to commodity prices. But few developing countries have used these techniques. This book shows policymakers in developing countries how to use the full range of new and established financial techniques. Through case studies, it provides detailed information about the techniques, analyzes the institutional constraints on them, and illustrates the kinds of technical assistance needed to make good use of them. It also describes the instruments, the markets, and the current regulatory framework. For the past several years, the World Bank has assisted developing countries in managing commodity price risk. The book draws extensively on the lessons learned from this assistance to demonstrate that developing countries can benefit significantly from using financial techniques to manage their risk.

Primary Commodities

Primary Commodities
Author: International Monetary Fund
Publisher: International Monetary Fund
Total Pages: 48
Release: 1990-09-15
Genre: Business & Economics
ISBN: 9781557751461

This study prepared by the Commodities Division of the Research Department reviews and analyzes the developments in commodity markets.

Income Versus Prices: How Does The Business Cycle Affect Food (In)-Security?

Income Versus Prices: How Does The Business Cycle Affect Food (In)-Security?
Author: Mr. Christian Bogmans
Publisher: International Monetary Fund
Total Pages: 40
Release: 2021-09-24
Genre: Business & Economics
ISBN: 155775246X

We study how two aspects of food insecurity - caloric insufficiency and diet composition - are affected by aggregate economic fluctuations. The use of cross-country panel data allows us to adopt a global prospective on the identification of the macroeconomic determinants of food insecurity. Income shocks are the most relevant driver of food insecurity, displaying high elasticities at the early stages of economic development. The role of food price shocks is more limited. Social protection has a direct effect and mitigates the impact of income shocks. Effects are highly heterogeneous across a range of structural characteristics of the economy, highlighting the role of distributional aspects and of food import dependency.