The Myth Of Co Moving Commodity Prices

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The Myth of Comoving Commodity Prices

Author : Mr.Paul Cashin
Publisher : International Monetary Fund
ISBN 13 : 1451858329
Total Pages : 21 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis The Myth of Comoving Commodity Prices by : Mr.Paul Cashin

Download or read book The Myth of Comoving Commodity Prices written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1999-12-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Myth of Co-moving Commodity Prices

Author : C. John McDermott
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (434 download)

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Book Synopsis The Myth of Co-moving Commodity Prices by : C. John McDermott

Download or read book The Myth of Co-moving Commodity Prices written by C. John McDermott and published by . This book was released on 1999 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Co-movement of major commodity price returns: A time-series assessment

Author : de Nicola, Francesca
Publisher : Intl Food Policy Res Inst
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4./5 ( download)

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Book Synopsis Co-movement of major commodity price returns: A time-series assessment by : de Nicola, Francesca

Download or read book Co-movement of major commodity price returns: A time-series assessment written by de Nicola, Francesca and published by Intl Food Policy Res Inst. This book was released on 2014-06-13 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

The Myth of Comoving Commodity Prices

Author : Paul Cashin
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Myth of Comoving Commodity Prices by : Paul Cashin

Download or read book The Myth of Comoving Commodity Prices written by Paul Cashin and published by . This book was released on 1999 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

World Economic Outlook, May 2000

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 9781557759368
Total Pages : 308 pages
Book Rating : 4.7/5 (593 download)

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Book Synopsis World Economic Outlook, May 2000 by : International Monetary Fund. Research Dept.

Download or read book World Economic Outlook, May 2000 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2000-04-12 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: The World Economic Outlook, published twica a year in English, French, Spanish, and Arabic, presents IMF staff economists analyses of global economic developments during the near and medium term. Chapters give an overview of the world economy; consider issues affecting industrial countries, developing countries, and economies in transition to market; and address topics of pressing current interest. Annexes, boxes, charts, and an extensive statistical appendix augment the text.

Methods to Analyse Agricultural Commodity Price Volatility

Author : Isabelle Piot-Lepetit
Publisher : Springer Science & Business Media
ISBN 13 : 1441976345
Total Pages : 238 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Methods to Analyse Agricultural Commodity Price Volatility by : Isabelle Piot-Lepetit

Download or read book Methods to Analyse Agricultural Commodity Price Volatility written by Isabelle Piot-Lepetit and published by Springer Science & Business Media. This book was released on 2011-06-10 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the issue of price volatility in agricultural commodities markets and how this phenomenon has evolved in recent years. The factors underlying the price spike of 2007-08 appear to be global and macroeconomic in nature, including the rapid growth in demand by developing countries, the international financial crisis, and exchange rate movements. Some of these factors are new, appearing as influences on price volatility only in the last decade. Although volatility has always been a feature of agricultural commodity markets, the evidence suggests that volatility has increased in certain commodity markets. A growing problem is that agricultural price shocks and volatility disrupt agricultural markets, economic incentives and incomes. With increased globalization and integration of financial and energy markets with agricultural commodity markets, the relationships between markets are expanding and becoming more complex. When a crisis such as a regional drought, food safety scare or a financial crisis hits a particular market, policy-makers often do not know the extent to which it will impact on other markets and affect producer, consumer and trader decisions. Including contributions from experts at the World Bank, the Food and Agriculture Organization of the United Nations, the USDA, and the European Commission, the research developed throughout the chapters of this book is based on current methodologies that can be used to analyze price volatility and provide directions for understanding this volatility and the development of new agricultural policies. The book highlights the challenges facing policy makers in dealing with the changing nature of agricultural commodities markets, and offers recommendations for anticipating price movements and managing their consequences. It will be a practical guide for both present and future policy-makers in deciding on potential price-stabilizing interventions, and will also serve as a useful resource for researchers and students in agricultural economics.

The Economics and Finance of Commodity Price Shocks

Author : Mikidadu Mohammed
Publisher : Routledge
ISBN 13 : 1000485129
Total Pages : 215 pages
Book Rating : 4.0/5 (4 download)

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Book Synopsis The Economics and Finance of Commodity Price Shocks by : Mikidadu Mohammed

Download or read book The Economics and Finance of Commodity Price Shocks written by Mikidadu Mohammed and published by Routledge. This book was released on 2021-11-25 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Market interdependence and volatility transmission among major crops

Author : Gardebroek, Cornelis
Publisher : Intl Food Policy Res Inst
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4./5 ( download)

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Book Synopsis Market interdependence and volatility transmission among major crops by : Gardebroek, Cornelis

Download or read book Market interdependence and volatility transmission among major crops written by Gardebroek, Cornelis and published by Intl Food Policy Res Inst. This book was released on with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a comprehensive analysis of the dynamics of volatility between the corn, wheat, and soybean markets in the United States. Volatility interactions across markets, if they exist, may lower the effectiveness of diversification strategies to mitigate price risks and should be taken into account when analyzing the pricing behavior of different agricultural commodities. We follow a Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) approach to evaluate the level of interdependence and volatility transmission across these major crops on a daily, weekly, and monthly basis.

Booms and Slumps in World Commodity Prices

Author : Mr.Paul Cashin
Publisher : International Monetary Fund
ISBN 13 : 1451857292
Total Pages : 26 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Booms and Slumps in World Commodity Prices by : Mr.Paul Cashin

Download or read book Booms and Slumps in World Commodity Prices written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1999-11-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the duration and magnitude of commodity-price cycles. It finds that for most commodities, price slumps last longer than price booms. How far prices fall in a slump is found to be slightly larger than how far they rebound in a subsequent boom. There is little evidence of a consistent ‘shape’ to commodity-price cycles. For all commodities, the probability of an end to a slump in prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in prices is independent of the time already spent in the boom.

Handbook of Critical Issues in Finance

Author : Jan Toporowski
Publisher : Edward Elgar Publishing
ISBN 13 : 1849805954
Total Pages : 339 pages
Book Rating : 4.8/5 (498 download)

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Book Synopsis Handbook of Critical Issues in Finance by : Jan Toporowski

Download or read book Handbook of Critical Issues in Finance written by Jan Toporowski and published by Edward Elgar Publishing. This book was released on 2012-01-01 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: This vital new Handbook is an authoritative volume presenting key issues in finance that have been widely discussed in the financial markets but have been neglected in textbooks and the usual compilations of conventional academic wisdom. A wide range of topics including the recent economic crisis, capital controls, the Franc Zone, quantitative easing and securitization, as well as the key controversies associated with them, are explored and explained in depth by well-known authorities in finance and economics. Designed to complement and expand upon standard textbooks as well as the specialist critical literature on particular topics in finance, this informative Handbook will prove invaluable to academics, researchers and students focusing on economics, finance and heterodox economics.

Modeling and Forecasting Primary Commodity Prices

Author : Walter C. Labys
Publisher : Routledge
ISBN 13 : 1351917080
Total Pages : 264 pages
Book Rating : 4.3/5 (519 download)

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Book Synopsis Modeling and Forecasting Primary Commodity Prices by : Walter C. Labys

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 264 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.

Trade Policy and Food Security

Author : Ian Gillson
Publisher : World Bank Publications
ISBN 13 : 1464803064
Total Pages : 325 pages
Book Rating : 4.4/5 (648 download)

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Book Synopsis Trade Policy and Food Security by : Ian Gillson

Download or read book Trade Policy and Food Security written by Ian Gillson and published by World Bank Publications. This book was released on 2014-12-04 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increased trade integration holds considerable potential to stabilize food prices, boost returns to farmers, and reduce the prices faced by consumers. This book explores the effects of food price changes on economic welfare in developing countries, and how these can be mitigated through appropriate national policies at the border.

The Effects on Growth of Commodity Price Uncertainty and Shocks

Author : Jan Dehn
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4./5 ( download)

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Book Synopsis The Effects on Growth of Commodity Price Uncertainty and Shocks by : Jan Dehn

Download or read book The Effects on Growth of Commodity Price Uncertainty and Shocks written by Jan Dehn and published by World Bank Publications. This book was released on 2000 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author estimates the effects on growth of commodity price shocks, and uncertainty within an established empirical growth model. Ex-post shocks, and ex-ante uncertainty have been treated in the empirical literature as if they were synonymous. But they are distinct concepts, and it is both theoretically, and empirically inappropriate to treat them as synonymous. He shows that the interaction between policy, and aid is robust to the inclusion of variables capturing commodity price movements. More important, his approach departs in three ways from earlier empirical studies of the subject: 1) It deals with issues of endogeneity, without incurring an excessive loss of efficiency. 2) It defines the dependent variable to allow an assessment of the longer-term implications of temporary trade shocks. 3) It imposes no priors on how commodity price movements affect growth, but compares and contrasts a range of competing shock, and uncertainty specifications. The author resolves the disagreement about the long-run effect of positive shocks on growth, finding that positive shocks have no long-run impact on growth (that windfalls from trade shocks do not translate into sustainable increases in income). He shows that negative shocks have large, highly significant, and negative effects on growth, but that commodity price uncertainty does not affect growth.

Primary Commodities and Economic Development

Author : Stephan Pfaffenzeller
Publisher : Taylor & Francis
ISBN 13 : 131774537X
Total Pages : 167 pages
Book Rating : 4.3/5 (177 download)

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Book Synopsis Primary Commodities and Economic Development by : Stephan Pfaffenzeller

Download or read book Primary Commodities and Economic Development written by Stephan Pfaffenzeller and published by Taylor & Francis. This book was released on 2016-08-12 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our post-industrialised global economy has achieved spectacular success and pushed back poverty to an extent previously thought impossible. This success is ultimately based on the continued supply of both renewable and non-renewable resources. Will this supply of primary commodities remain sufficient to support global economic growth? Why are the gains for countries specialising on commodity production often so limited? Can commodity dependent countries diversify into other economic activities? Primary Commodities and Economic Development addresses the changing position of primary commodities in the world economy and investigates their importance for commodity exporting under-developed countries. The book commences with a review of the theoretical foundations for inter-dependence between commodity specialisation and economic underdevelopment. Having related the role of commodity exports and the commodity terms of trade to growth models relevant to developing economies, the discussion shifts to an in-depth review of the statistical properties of the commodity terms of trade. The review of commodity price trends at the global level is then rounded off with a series of country case studies showing the concrete threats and opportunities surrounding commodity specialization. This book will be of essential reading for those with an interest in development economics and international economics, as well as for scholars of natural resource and agricultural economics.

Commodities, Governance and Economic Development under Globalization

Author : Machiko Nissanke
Publisher : Springer
ISBN 13 : 0230274021
Total Pages : 368 pages
Book Rating : 4.2/5 (32 download)

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Book Synopsis Commodities, Governance and Economic Development under Globalization by : Machiko Nissanke

Download or read book Commodities, Governance and Economic Development under Globalization written by Machiko Nissanke and published by Springer. This book was released on 2010-01-20 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alfred Maizels' work on commodity trade and prices documented trends in a major area of international economic relations. This book elaborates the ideas in the tradition of Maizels' contributons, and discusses and extends these theories in relation to current problems.

IMF Macroeconomic Research on Low-Income Countries

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 9781589062733
Total Pages : 130 pages
Book Rating : 4.0/5 (627 download)

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Book Synopsis IMF Macroeconomic Research on Low-Income Countries by : International Monetary Fund

Download or read book IMF Macroeconomic Research on Low-Income Countries written by International Monetary Fund and published by International Monetary Fund. This book was released on 2004-01-30 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: Summarizes the for ward-looking analytical work program on macroeconomic issues related to the Poverty Reduction Strategy Paper approach. The program is evolving through a process that began with a technical workshop; participants from low-income countries, donors, academia, and civil society drafted guidance on selected issues and identified priority research topics. Partners, policymakers, and economic scholars are encouraged to share their perspectives and findings through respective team leaders, whose e-mail addresses are provided. The publication also summarizes IMF analytical work, and contains a bibliography of nearly 1,000 papers.

The Methodology and Practice of Econometrics

Author : Jennifer Castle
Publisher : OUP Oxford
ISBN 13 : 0191553255
Total Pages : 464 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis The Methodology and Practice of Econometrics by : Jennifer Castle

Download or read book The Methodology and Practice of Econometrics written by Jennifer Castle and published by OUP Oxford. This book was released on 2009-04-30 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.