The cyclical response of commodity price expectations
Rational expectations and commodity price forecasts
... (1) The one year-ahead CM forecasts for the period 1979-88 on average have shown positive forecast errors (overestimated the future spot prices) which are often larger than the fore[r] ...
27
The investment response to temporary commodity price shocks
... supply response (a larger gap between the two ...the commodity sector has a larger pool of labour from the M sector to draw on (more formally the commodity sector can expand employment without wages ...
27
Commodity Prices: Cyclical Weakness or Secular Decline?
... the response by commodity producers in the former Soviet Union to this shift in demand and the dislocation accompanying reform has caused supply shocks in international commodity ...
43
Commodity Prices: Cyclical Weakness or Secular Decline?
... the response by commodity producers in the former Soviet Union to this shift in demand and the dislocation accompanying reform has caused supply shocks in international commodity ...
43
Information and Price Response in Storable Commodity Futures Markets: An Application to Lumber Contracts
... and applies the method to corn futures. Smith studies time series of futures contract prices without reference to exogenous observables. He models unobservable information flows using a purely time series methodology—a ...
189
COMMODITY PRICE VOLATILITY: THE IMPACT OF COMMODITY INDEX TRADERS
... A number of factors contributed to the rise in prices and the degree of volatility experienced in 2007-2008. The stock-to-use ratio had fallen to historic lows for most crops as production levels had flattened over the ...
8
The Private Housing Market Cyclical Price Dynamics
... researchers to seek answers in economic fundamentals. The temporary deviation of accrual prices from economic fundamentals (e.g., Clayton, 1996) and the positive autocorrelation of housing prices in the short run (e.g., ...
36
Do Agricultural Commodity Firm Stock Price and Agricultural Commodity Price Move Together?
... Any price decreases might lead to increased market share or to harmful price wars that may induce predatory ...altered price only in response to changes in production cost caused by input ...
10
mineral Commodity Price Fluctuations
... major structural changes (Kilian Vigfusson 2011; Dvir Rogoff 2010) which make it difficulttoobtainregressionresultsthatarerobustacrosssub-periods. I use a structural vector autoregressive (VAR) ...
75
Valuation of commodity derivatives when spot prices revert to a cyclical mean
... of commodity prices constitutes an issue of special rele- vance for practitioners in financial markets and it has been deeply analysed in many academic papers throughout the ...some commodity markets are ...
47
Commodity price uncertainty in developing countries
... capture price rather than quantity movements, it is desirable to hold volumes constant to avoid possible endogeneity problems arising in the event of a volume response to a price ...
50
Monetary policy and commodity price shocks
... policy response to oil price shocks, which rely on the contemporaneous rather than the future rate of ...the price level but also the indirect effects as higher commodity costs are reflected ...
15
The Impact of Speculative Investments on Commodity Price
... consumable commodity with non-trivial storage cost, such as oil, the marginal convenience yield should be inversely related to the quantity ...impact price. This is because suppliers must take the role of a ...
36
Commodity Price Volatility, Vulnerability and Development
... Of course, vulnerability indicators designed to be internationally comparable do not necessarily represent risk as perceived by economic agents, since to represent this would imply specifying a model of ...
21
Three Essays In Commodity Price Dynamics
... for commodity prices can be dated back to Gustafson (1958) who defines a set of optimal storage rules that state how much grain should be carried over into the next period given the current year ...the ...
121
Commodity price volatility and nutrition vulnerability:
... to price volatility, the next question that demands attention is which model to ...agent response, which is very important for this study, but we have also highlighted the importance of general equilibrium ...
44
COMMODITY PRICE MONITOR
... RBC’s commodity price index is a Fisher chain-weighted index of spot or transaction prices of 24 of the top ex- ported Canadian-produced ...each commodity in the overall index and various sub- ...
7
Non oil commodity prices: Cyclical weakness or secular decline?
... Note: Commodity prices are deflated by the export unit values of manufactured goods... Further, even if temporary shocks play a dominant role, the ability to stabilize[r] ...
59
Commodity Price Volatility: The Impact of Commodity Index Traders
... spot price is trading at a premium to its futures contracts or if a nearby-month futures contract is trading at a premium to distant futures ...in price as they approach expiration, creating a positive roll ...
30
Models for the price of a storable commodity
... The commodity spot price volatilities are strongly heteroskedastic (see Duffie and Gray, 1995 [30]) and closely reflect the supply, demand and inventory conditions in the market. In p[r] ...
230