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The Excess Co Movement Of Commodity Prices
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Book Synopsis The Excess Co-movement of Commodity Prices by : Robert S. Pindyck
Download or read book The Excess Co-movement of Commodity Prices written by Robert S. Pindyck and published by . This book was released on 1988 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests and confirms the existence of a puzzling phenomenon - the prices of largely unrelated raw commodities have a persistent tendency to move together. We show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current, or expected future values of macroeconomic variables such as inflation, industrial production, interest rates, and exchange rates. These results are a rejection of the standard competitive model of commodity price formation with storage.
Book Synopsis Is There Excess Co-movement of Primary Commodity Prices? by : Theodosios B. Palaskas
Download or read book Is There Excess Co-movement of Primary Commodity Prices? written by Theodosios B. Palaskas and published by World Bank Publications. This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Futures Trading and the Excess Comovement of Commodity Prices by : Yannick Le Pen
Download or read book Futures Trading and the Excess Comovement of Commodity Prices written by Yannick Le Pen and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We empirically reinvestigate the issue of the excess co-movement of commodity prices initially raised in Pindyck and Rotemberg (1990). Excess co-movement appears when commodity prices remain correlated even after adjusting for the impact of fundamentals. We use recent developments in large approximate factor models to consider a richer information set and adequately model these fundamentals. We consider a set of eight unrelated commodities along with 184 real and nominal macroeconomic variables, from developed and emerging economies, from which nine factors are extracted over the 1993-2013 period. Our estimates provide evidence of time-varying excess co-movement which is only occasionally significant. We further show that speculative intensity is a driver of the estimated excess co-movement, as speculative trading is both correlated across the commodity futures markets and correlated with the futures prices. Our results can be taken as direct evidence of the significant impact of financialization on commodity-price cross-moments.
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.
Book Synopsis The Comovement in Commodity Prices by : Mr.Ron Alquist
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.
Book Synopsis The Excess Co-movement of Commodity Prices by :
Download or read book The Excess Co-movement of Commodity Prices written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The excess co-movement of commodity prices by : Robert S. Pindyck
Download or read book The excess co-movement of commodity prices written by Robert S. Pindyck and published by . This book was released on 1988 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Increasing Trends in the Excess Comovement of Commodity Prices by : Kazuhiko Ohashi
Download or read book Increasing Trends in the Excess Comovement of Commodity Prices written by Kazuhiko Ohashi and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we investigate whether and how excess comovement among commodity returns i.e., correlation among commodity returns not accounted for by the common shocks of exogenous macroeconomic variables, have increased during these decades. To this end, we generalize the model of excess comovement, originated by Pindyck and Rotemberg (1990) and extended by Deb, Trivedi, and Varangis (1996), to develop the STDCC (smooth-transition dynamic conditional correlation) model that can capture long-run trends and short-run dynamics in excess comovement. Using monthly commodity returns data from 1983 to 2011, we find significant increasing long-run trends in excess comovement have appeared since around 2000 in all pairs of agricultural raw materials, beverages, metals, and oils. We then examine the possibility of non-monotonic trends, and find that in most cases, excess comovement continue to increase even after the financial crisis in 2008 and hence the increasing trends in excess comovement among commodity returns are not an artifact produced by the recent financial crisis, but the intrinsic nature of the excess comovement during the period including the post-crisis era. We also confirm that the increasing long-run trends of excess comovement are robust to the change in the sensitivities of commodity returns to common macroeconomic factors. Moreover, unlike the results above, we find no significant increasing trends in excess comovements among off-index commodity returns. Finally, we find that our results are robust for global macroeconomic shocks. That is, taking account of global macroeconomic variables, we still find significant, though a bit weaker, long-run increasing trends in commodity excess comovement. Those findings provide additional evidence for the recent debates about the increasing commodity-return correlations.
Book Synopsis The Excess Co-movement of Commodity Prices Revisited by : Stephen James Leybourne
Download or read book The Excess Co-movement of Commodity Prices Revisited written by Stephen James Leybourne and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Excess Co-Movement of Commodity Prices by :
Download or read book Excess Co-Movement of Commodity Prices written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Cf.: http://dx.doi.org/10.3886/ICPSR01032.v1.
Author :Isabelle Piot-Lepetit Publisher :Springer Science & Business Media ISBN 13 :1441976345 Total Pages :238 pages Book Rating :4.4/5 (419 download)
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.
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.
Book Synopsis Co-Movement of Major Commodity Price Returns by : Francesca de Nicola
Download or read book Co-Movement of Major Commodity Price Returns written by Francesca de Nicola and published by . This book was released on 2017 with total page 38 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 based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of unconditional and conditional correlations. The results indicate that (i) the price returns of energy and agricultural commodities are highly correlated; (ii) the overall level of co-movement among commodities increased in recent years, especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil, which are important inputs in the production of biofuels; and (iii) particularly after 2007, stock market volatility is positively associated with the co-movement of price returns across markets.
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
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.
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 2005 with total page 19 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 co-movement 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 co-movement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behaviour by participants in world commodity markets.
Book Synopsis Sharing a Ride on the Commodities Roller Coaster by : Andres Fernandez
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.
