Download or read book Structural Breaks and Long run Trends in Commodity Prices written by Javier León and published by World Bank Publications. This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Structural Breaks and Long Run Trends in Commodity Prices written by Javier Leon and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Time-series techniques that control for the presence of structural breaks reveal that the international price of most commodities presents a negative long-run trend for 1900-92. They also show that shocks are far less persistent than previously estimated. Both findings suggest that there may be important welfare gains from stabilization mechanisms such as commodity funds.

Download or read book Structural breaks and long rund trends in commodity prices written by Javier Leon and published by . This book was released on 1995 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Long term Behavior of Commodity Prices written by Pier Giorgio Ardeni and published by World Bank Publications. This book was released on 1990 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Commodity Price Dynamics written by Jiachuan Tian and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The variation of energy prices has been a traditional source of shocks to the real economy. In many cases, this variation has manifested in jumps in energy prices that were characterized by some persistence. From another perspective, energy price volatility has historically been noted and its effects on real economy debated. Historically, the importance of the shocks to the real economy has led them to be labeled as energy crises, as they were argued to have resulted in substantial changes in real prices that induced changes in behavior on the demand and supply sides of the many markets. The first chapter re-examines evidence of such a linkage by considering the transmission of energy prices into soft commodity prices. This nexus lies within the core of any real effects as softs include food-related commodities. The paper contributes to the literature by re-examining this linkage with a close eye on the role played by structural breaks within a time series and by considering the question of causality within a nonlinear framework. We find that functional form is a critical specification that conditions inference. Using linear forms, we find no cointegration between energy and food in the full sample under the maintained hypothesis that there are no structural breaks. Using linear nonparametric methods, we examine the series for structural breaks and find evidence of their importance. Based on subdivisions of the sample period as suggested by the structural break examination, within the structural break intervals identified we find evidence of cointegration. We next reconsider the issue within the context of nonlinear functional forms posing the question of whether evidence of structural breaks based on linear methods follow from underlying nonlinearity. Our results confirm the importance of functional form specification and we find evidence of nonlinear causality between energy and soft commodity prices. Empirical studies of transmission of energy prices into the real economy have been challenged by a number of significant specification issues that have resulted in substantial variation in inference drawn from results. Among these issues is the question of completeness of model specification. Chapter 2 examines the question of whether such models need to incorporate macroeconomic indicators. Clearly, macroeconomic factors such as interest rates and exchange rates play a role in the determination of energy and commodity prices, however, considerable specification uncertainty characterizes the question of which macro metrics to incorporate. We examine this issue from the perspective of weak exogeneity and find evidence that the parameter estimates associated with time series models that exclude consideration of macro indicators are not compromised by their exclusion. We examine this issue using Italian, U.S. grain, and Brent crude oil prices. While structural break, threshold and asymmetric cointegration models can allow us to characterize the linear and nonlinear dynamics in price transmission in level,it is of equal interest to differentiate across the type of price change to consider what might be thought of as typical price changes versus extreme price changes associated with either temporary structural change or mean reverting change as in what we call price jumps. In particular, while a structural break is a permanent and long-run structural shift in DGM, a jump in a series represents a sudden temporary change in the pattern of the observations generated. Such change is temporary in a sense that its effect usually diminishes rather quickly (usually in relatively few periods). That means, intuitively, in relatively short time span after a jump, the price series will revert to its mean or its long-run smooth pattern which we call the trend of the series. In Chapter 3, we present a detailed discussion of the proper representation of such price jumps and show that there are price jumps in the real-world economic price series. The last chapter is concerned with the micro-structure specification to identify origins of price jumps that can not be generally characterized by the competitive market models. In particular we propose a rather general model of procurement process where imperfectly informed buyers search for and place bids to suppliers to fulfill procurement demand. We show that in this process, search cost, market structure and market condition are crucial factors in generating price jumps. Later in the simulation part we show that the model proposed in this paper can generate jumps that resemble those in the observed economic price series. We also integrate buyers risk aversion in market conditions (though they are risk neutral in payoffs) through their personal belief and search costs. We show that buyers risk aversion increases their sensitivity to market conditions,which exaggerates price movements with presence of supply shocks.

Download or read book The Economics of Commodity Markets written by Julien Chevallier and published by John Wiley & Sons. This book was released on 2013-06-19 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject. The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors’ teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning. The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed. This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.

Download or read book Are Commodity Prices More Volatile Now A Long Run Perspective written by Oscar Calvo-González and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices rather than their volatility characteristics. This paper contributes by examining commodity price volatility with a newly compiled monthly panel dataset on 45 individual commodity prices from the end of the 18th century until today. The main conclusions are: the timing and number of breaks in volatility vary considerably across individual commodities, cautioning against generalizations based on the use of commodity price indices; the three most significant breaks common to most commodities are the two world wars and the collapse of the Bretton-Woods system; and structural breaks marking increased price volatility are followed by breaks marking declines in volatility so that there is no upward or downward trend in volatility over time.

Download or read book Are Commodity Prices More Volatile Now A Long Run Perspective written by Oscar Calvo-Gonzalez and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices rather than their volatility characteristics. This paper contributes by examining commodity price volatility with a newly compiled monthly panel dataset on 45 individual commodity prices from the end of the 18th century until today. The main conclusions are: the timing and number of breaks in volatility vary considerably across individual commodities, cautioning against generalizations based on the use of commodity price indices; the three most significant breaks common to most commodities are the two world wars and the collapse of the Bretton-Woods system; and structural breaks marking increased price volatility are followed by breaks marking declines in volatility so that there is no upward or downward trend in volatility over time.

Download or read book The Long run Behavior of Commodity Prices written by Paul Cashin and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Primary Commodity Prices written by John T Cuddington and published by . This book was released on 1989 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Ashgate Publishing, Ltd.. This book was released on 2006 with total page 272 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 From Boom to Bust written by David S. Jacks and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the evidence on real commodity prices from 1900 to 2015 for 40 commodities, representing 8.72 trillion US dollars of production in 2011. In so doing, it suggests and documents a comprehensive typology of real commodity prices, comprising long-run trends, medium-run cycles, and short-run boom/bust episodes. The main findings can be summarized as follows: (1) real commodity prices have been on the rise--albeit modestly--from 1950; (2) there is a pattern--in both past and present--of commodity price cycles, entailing large and long-lived deviations from underlying trends; (3) these commodity price cycles are themselves punctuated by boom/bust episodes which are historically pervasive.

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 Long run Trends in Commodity Prices and the Current Copper and Zinc Boom written by Yannick Oberson and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This master's thesis assesses the long-run evolution of commodity prices. In the first part, using a recent Lagrange multiplier unit root test allowing for two breaks, we reject the non-stationarity hypothesis for 16 our of 27 commodity price series covering the 20th century. Estimating subsequently trend and difference stationary models, we find that most commodities displayed negative trends during extensive periods over the last 100 years. The second part of this study focuses on the current evolution in copper and zinc. We underline that the current very large price increase in both metals is primarily due to strengthening demand from China and other developing economies, combined with the incapacity of suppliers to raise production over the short-run. As, after some years of investments, production is starting to expand notably, we expect prices to decline gradually. Finally, our predictions are confirmed by an econometric model.

Download or read book The Long run Behaviour of the Terms of Trade Between Primary Commodities and Manufactures written by Jesús G. Otero and published by . This book was released on 2011 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the Prebisch and Singer hypothesis using a panel of 24 commodity prices from 1900 to 2010. The modelling approach stems from the need to meet two key concerns: (1) the presence of cross-sectional dependence among commodity prices; and (2) the identification of potential structural breaks. To address these concerns, the Hadri and Rao test (2008) is employed. The findings suggest that all commodity prices exhibit a structural break at different locations across series, and that support for the Prebisch and Singer hypothesis is mixed. Once the breaks are removed from the underlying series, the persistence of commodity price shocks is shorter than that obtained in other studies using alternative methodologies. -- Prebisch and Singer hypothesis ; panel stationarity

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 Econometrics of Structural Change written by Walter Krämer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t