Download or read book A Dynamic Factor Model for Commodity Prices written by Doga Bilgin and published by . This book was released on 2017 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component. Unlike with ordinary factor models, these components have meaningful economic interpretations: the global component mostly relates to global commodity demand shocks, while the idiosyncratic component mostly relates to commodity-specific supply shocks. We give several examples to show that the CFM provides plausible historical decompositions.
Download or read book How important are common factors in driving non fuel commodity prices a dynamic factor analysis written by Isabel Vansteenkiste and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Macroeconomic Aspects of Commodity Price Dynamics written by Md Rafayet Alam and published by . This book was released on 2016 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuation in commodity prices is a significant and timely issue to be studied. My first chapter examines the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The major contributions of this study are twofold. First, unlike other studies that use indexes, this study analyzes the commodities individually, affording the inclusion of commodity-specific fundamentals such as the level of inventory – an important determinant of commodity price – in a structural VAR framework. Second, it exploits a rich dataset of agricultural commodity prices which includes commodities that are usually overlooked in the literature, and extracts a common factor using the dynamic factor model to understand the extent of co-movement of the prices and to gauge the extent to which macroeconomic shocks drive the ‘co-movement’ in a factor-augmented VAR (FAVAR) framework. The findings show that monetary policy, global economic conditions and the US dollar exchange rates play an important role in the dynamics of agricultural commodity prices. My second chapter examines the role played by Wal-Mart in price convergence among US cities. Despite the fact that market structure is an important determinant of price convergence and that US retail architecture has been changed over the past two decades by the expansion of big box stores and supercenters, the role played by such rapidly-expanding ‘big-box’ chain-stores like Wal-Mart in price convergence is completely over-looked in the literature. The possible symmetry in costs and mark-up among Wal-Mart stores, and their influence over the city level prices motivate us to test if their presence helps price convergence among US cities. After controlling for distance, local costs such as wage and rent, and city and time specific fixed effects this study finds that prices are significantly closer in two cities if they have Wal-Mart than if none or only one of them has Wal-Mart. Though the results are mostly robust to the analysis using disaggregate price data and sub-samples, they are more pronounced for grocery items than non-grocery items, within high income cities than low income cities. Moreover, our regional analysis uncovers the regional variations in the effect of Wal-Mart on price convergence, and Wal-Mart’s more prominent role in inter-region rather than intra-region price convergence. Since the presence of Wal-Mart accelerates the rate of price convergence and thus reduces the potential for misallocation of resources, our results suggest that the existence of a positive welfare impact of Wal-Mart cannot be overruled. My third chapter uses county level data to see the effect of Wal-Mart on local economic activities and revenue in Florida. The OLS estimation shows that the presence of Wal-Mart significantly increases total retail sales and decreases sales tax rate, but have no significant effect on total taxable retail sales and total revenue from sales tax. The instrumental variable (IV) estimation shows that presence of Wal-Mart significantly decreases sales tax rate but has no significant effect on total retail sales, total taxable retail sales and total revenue from sales tax. Thus, according to our analysis, Wal-Mart does not necessarily increase local economic activities and tax revenue. However, interestingly, Wal-Mart is found to play an important role in decreasing local sales-tax rate.
Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Download or read book The Comovement in Commodity Prices written by Mr.Ron Alquist and published by International Monetary Fund. This book was released on 2013-06-05 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Macroeconomic Determinants of Commodity Prices written by Mr.Eduardo Borensztein and published by International Monetary Fund. This book was released on 1994-01-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The “traditional structural approach” to the determination of real commodity prices has relied exclusively on demand factors as the fundamentals that explain the behavior of commodity prices. This framework, however, has been unable to explain the marked and sustained weakness in commodity prices during the 1980s and 1990s. This paper extends that framework in two important directions: First, it incorporates commodity supply in the analysis, capturing the impact on prices of the sharp increase in commodity exports of developing countries during the debt crisis of the 1980s. Second, we take a broader view of “world” demand that extends beyond the industrial countries and includes output developments in Eastern Europe and the former Soviet Union (FSU). The empirical results support these extensions, as both the fit of the model improves substantially and, more importantly, its ability to forecast increases markedly.
Download or read book Dynamic Commodity Models Specification Estimation and Simulation written by Walter C. Labys and published by . This book was released on 1973 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deals with the theory and methods required for specifying, estimating, validating, and applying commodity models which describe behavior of a quarterly or annual nature, though certain ...
Download or read book World Shocks and Commodity Price Fluctuations Evidence from Resource rich Economies written by Filippo Arigoni and published by . This book was released on 2020 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify world shocks driving up real commodity prices in a Bayesian dynamic factor model setting using a minimum set of sign restrictions omplemented with constrained short-run responses.
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Download or read book Derivatives and Risk Management in Shipping written by Manolis G. Kavussanos and published by . This book was released on 2006 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a multi-million dollar industry such as shipping even small currency fluctuations can have significant effects on investments. Further factors such as commodities i.e. steel, oil and gas and their consistancy of supply add to the risks in this highly capital intensive industry.
Download or read book Data Rich DSGE and Dynamic Factor Models written by Mr.Maxym Kryshko and published by International Monetary Fund. This book was released on 2011-09-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels of macroeconomic and financial data can be captured by relatively few common unobserved factors. Similarly, the dynamics in DSGE models are often governed by a handful of state variables and exogenous processes such as preference and/or technology shocks. Boivin and Giannoni(2006) combine a DSGE and a factor model into a data-rich DSGE model, in which DSGE states are factors and factor dynamics are subject to DSGE model implied restrictions. We compare a data-richDSGE model with a standard New Keynesian core to an empirical dynamic factor model by estimating both on a rich panel of U.S. macroeconomic and financial data compiled by Stock and Watson (2008).We find that the spaces spanned by the empirical factors and by the data-rich DSGE model states are very close. This proximity allows us to propagate monetary policy and technology innovations in an otherwise non-structural dynamic factor model to obtain predictions for many more series than just a handful of traditional macro variables, including measures of real activity, price indices, labor market indicators, interest rate spreads, money and credit stocks, and exchange rates.
Download or read book Sharing a Ride on the Commodities Roller Coaster written by Andres Fernandez and published by International Monetary Fund. This book was released on 2015-12-29 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then embed a commodity sector into a multi-country EMEs’ business cycle model where exogenous fluctuations in commodity prices follow a common dynamic factor structure and coexist with other driving forces. The estimated model assigns to commodity shocks 42 percent of the variance in income, of which a considerable part is linked to the common factor. A further amplification mechanism is a ”spillover” effect from commodity prices to risk premia.
Download or read book Modelling the Dynamics of Commodity Prices for Investment Decisions Under Uncertainty written by Shan Chen and published by . This book was released on 2010 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on commodity-linked investment decisions under uncertainty. Specifically, the first essay investigates whether a regime switching model of stochastic lumber prices is a better model for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two regimes characterized by a different mean reverting process. A single regime, mean reverting process is also calibrated. The value of a representative stand of trees and optimal harvesting prices are determined by specifying a Hamilton-Jacobi-Bellman Variational Inequality, which is solved for both pricing models using a fully implicit finite difference approach. The regime switching model is found to more closely match the behavior of futures prices than the single regime model. In addition, the optimal harvesting model indicates significant differences in terms of land value and optimal harvest thresholds between the regime switching and single regime models. The second essay investigates whether convenience yield is an important factor in determining optimal decisions for a forestry investment. The Kalman filter method is used to estimate three different models of lumber prices: a mean reverting model, a simple geometric Brownian motion and the two-factor price model due to Schwartz (1997). In the latter model there are two correlated stochastic factors: spot price and convenience yield. The two-factor model is shown to provide a reasonable fit of the term structure of lumber futures prices. The impact of convenience yield on a forestry investment decision is examined using the Schwartz (1997) long-term model which transforms the two-factor price model into a single factor model with a composite price. Using the long-term model an optimal harvesting problem is analyzed, which requires the numerical solution of a Hamilton-Jacobi-Bellman equation. I compare the results for the long-term model to those from single-factor mean reverting and geometric Brownian motion models. The inclusion of convenience yield through the long-term model is found to have a significant impact on land value and optimal harvesting decisions. The third essay investigates the dynamics of recent crude oil prices by comparing and contrasting three different stochastic price models, which are a two-state regime switching model, a two-factor model analyzed in Schwartz (1997) and a two-factor model examined in Schwartz and Smith (2000). Prices of long-term crude oil futures contracts are used to calibrate and estimate the model parameters. The performances of the two-factor models are comparable in terms of fitting the market prices of the long-term oil futures contracts and more closely match the behavior of oil futures prices than the regime switching model.
