Is There Excess Co-movement of Primary Commodity Prices?
Title | Is There Excess Co-movement of Primary Commodity Prices? PDF eBook |
Author | Theodosios B. Palaskas |
Publisher | World Bank Publications |
Pages | 46 |
Release | 1991 |
Genre | Modelos econometricos |
ISBN |
The Comovement in Commodity Prices
Title | The Comovement in Commodity Prices PDF eBook |
Author | Mr.Ron Alquist |
Publisher | International Monetary Fund |
Pages | 63 |
Release | 2013-06-05 |
Genre | Business & Economics |
ISBN | 1484349377 |
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.
The Excess Co-movement of Commodity Prices
Title | The Excess Co-movement of Commodity Prices PDF eBook |
Author | Robert S. Pindyck |
Publisher | |
Pages | 50 |
Release | 1988 |
Genre | Prices |
ISBN |
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.
The Myth of Comoving Commodity Prices
Title | The Myth of Comoving Commodity Prices PDF eBook |
Author | Mr.Paul Cashin |
Publisher | International Monetary Fund |
Pages | 21 |
Release | 1999-12-01 |
Genre | Business & Economics |
ISBN | 1451858329 |
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.
Primary Commodity Prices
Title | Primary Commodity Prices PDF eBook |
Author | Joseph P. Byrne |
Publisher | |
Pages | |
Release | 2011 |
Genre | |
ISBN |
Primary Commodity Prices and Macroeconomic Variables
Title | Primary Commodity Prices and Macroeconomic Variables PDF eBook |
Author | Theodosios B. Palaskas |
Publisher | World Bank Publications |
Pages | 57 |
Release | 1989 |
Genre | Macroeconomia |
ISBN |
The Economics of Primary Commodities
Title | The Economics of Primary Commodities PDF eBook |
Author | David Sapsford |
Publisher | Edward Elgar Publishing |
Pages | 200 |
Release | 1994 |
Genre | Business & Economics |
ISBN |
Contributions by leading economists in the area of the economic analysis of primary commodity markets are brought together in this volume. It provides a detailed coverage of major recent developments in the economic analysis of primary commodity markets, including modelling and policy issues. The essays should provide the reader with an overview of the current state of the art and also a useful platform on which future research might be based.