Modeling and forecasting primary commodity prices:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Farnham [u.a.]
Ashgate
2010
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. [201] - 235 |
| Physical Description: | XX, 239 S. graph. Darst. |
| ISBN: | 9780754646297 0754646297 |
Staff View
MARC
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Record in the Search Index
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| adam_text |
Contents
List of Figures viii
List of Tables ix
List of Contributors xi
Foreword xiii
Preface xv
Acknowledgements xvii
List of Abbreviations xix
Introduction 1
Time Series Perspective 3
New Research Perspectives 4
Plan for this Study 8
1 History of Commodity Price Analysis 11
The Challenge 12
Structural Market Approach 14
Nonstructural Approach 21
Some Remaining Problems 30
Conclusions 36
Part 1 Long Term Price Movements
2 Identifying Trends and Breaks 39
Trends and Breaks 40
Exogenous Break Tests 42
Endogenous Break Tests 44
Some Empirical Comparisons 47
Conclusions 47
3 Convergence of Commodity Prices 49
Nature of Price Linkages 50
Geographic Price Separation 53
Methods for Measuring Convergence 55
Empirical Results 59
Conclusions 68
vi Modeling and Forecasting Primary Commodity Prices
Part 2 Medium Term Price Movements
4 Identifying Price Cycles 71
Timing and Frequency 72
Duration Dependence 73
Modeling and Confirmation 79
Volatility and Persistence 83
Conclusions 88
5 Business Cycle Impacts 91
Dynamic Factor Analysis 92
Prices and the Common Factor 93
Identifying the Common Factor 96
Business Cycles and the Common Factor 99
Conclusions 103
Part 3 Short Term Price Movements
6 Color of Commodity Prices 107
Fractional Integration 108
The Color of Noise 109
The Range of Price Tests 111
Empirical Results 117
Conclusions 122
7 Wavelet Models Transforms of Commodity Prices 125
A Brief Theory of Wavelets 126
Wavelet Estimation and Tests 133
Constructing the Patio Plots 138
Implications for Price Behavior 143
Conclusions 146
Part 4 Price Forecasting
8 Noisy Chaotic Dynamics 149
The Range of Price Tests 150
Data and Empirical Results 156
Conclusions 160
9 Structural Forecasting Models 163
Model Specification 164
Testing for Unit Roots and Cycles 166
Maximum Likelihood Results 170
Contents vii
Price Forecasting 178
Conclusions 182
Prospects for the Future 185
More Time Series Analysis 185
Beyond Time Series Analysis 190
Appendix: Resources for Future Research 195
Bibliography 201
Index 237
List of Figures
la Wheat Prices 2
lb Wheat Price Log Differences 2
2.1 Trends and Breaks in Oil Prices 40
3.1 Regional Price Differences for Tin 54
3.2 Correlation Convergence Index for Tin 60
7.1 Wavelet Structure for Coffee 134
7.2 Wavelet Structure for Copper 139
7.3 Wavelet Structure for Cotton 140
7.4 Wavelet Structure for Rice 142
7.5 Coffee Patios at High Resolution 143
List of Tables
2.1 Trend Break-Points and Unit Roots 43
2.2 Zivot-Andrews Tests for Endogenous Breaks 46
2.3 Differences in Break Points 48
3.1 Characteristics of the Price Series 55
3.2 Correlation Market Convergence Index 59
3.3 ADF Test Results for Metal and Agricultural Prices 61
3.4 Johansen Cointegration Test 62
3.5 Normalized Cointegrating Coefficients 63
3.6 Variance Decomposition for Agricultural Commodities 64
3.7 Variance Decomposition for Metal Commodities 65
3.8 Impulse Responses for Agricultural Commodities 66
3.9 Impulse Responses for Metal Commodities 67
4.1 Characteristics of Commodity Price Cycle Durations 74
4.2 Statistical Tests of Commodity Price Cycle Durations 78
4.3 Statistical Significance of STS Commodity Price Models 81
4.4 Commodity Price Volatility, Percentage Standard Deviations 83
4.5 Commodity Price Volatility, Ratio of Deviations to Base Period 84
4.6 Commodity Price Persistence, 1960-1993 87
5.1 Summary Statistics for Metal Prices 95
5.2 Factor Loadings and Autoregressive Coefficients 97
5.3 Shares of Variance Accounted for by Factors 98
5.4 Correlations between Factors and Metal Prices 99
5.5 Correlations between the Common Factor and Macroeconomic
Indicators 100
5.6 Causality Tests between the Common Factor and Macroeconomic
Indicators 101
5.7 Tests of Alternative Specifications of Macroeconomic Influences 102
6.1 Classification of Noises by Power Law Exponent 110
6.2 Summary Statistics for Commodity Prices 118
6.3 Variance Ratio Test 119
6.4 KPSS Test for Strong Mixing 120
6.5 Estimates of d and the Fractal Dimension 121
8.1 Dechert Test Results 156
8.2 White Neural Network and Engle Test Results 157
8.3 Correlation-dimension Method Results 158
8.4 Lyapunov Exponent Method Results, Wolfs Algorithm 158
8.5 Lyapunov Exponent Method Results, Kantz's Algorithm 158
8.6 R/S Test Results 159
x Modeling and Forecasting Primary Commodity Prices
8.7 Fractional Integration GPH Results 160
9.1 Testing for (seasonal) Unit Roots 168
9.2 Matrix of Correlations 169
9.3 STS Estimation and Test Results (Trend plus Cycle Model) 173
9.4 STS Estimation and Test Results (Cyclical Trend Model) 175
9.5a Evaluation of 12-Month Out of Sample Forecasting Performance of
Models, Part 1 179
9.5b Evaluation of 12-Month Out of Sample Forecasting Performance of
Models, Part2 180
A. 1 Definition of Price Series 196 |
| any_adam_object | 1 |
| author | Labys, Walter C. 1937- |
| author_GND | (DE-588)141387106 |
| author_facet | Labys, Walter C. 1937- |
| author_role | aut |
| author_sort | Labys, Walter C. 1937- |
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| building | Verbundindex |
| bvnumber | BV037473115 |
| classification_rvk | QM 240 |
| ctrlnum | (OCoLC)734078191 (DE-599)OBVAC05398757 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV037473115 |
| illustrated | Illustrated |
| indexdate | 2024-09-23T22:15:17Z |
| institution | BVB |
| isbn | 9780754646297 0754646297 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-022624828 |
| oclc_num | 734078191 |
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| owner | DE-945 |
| owner_facet | DE-945 |
| physical | XX, 239 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Ashgate |
| record_format | marc |
| spelling | Labys, Walter C. 1937- Verfasser (DE-588)141387106 aut Modeling and forecasting primary commodity prices Walter C. Labys Farnham [u.a.] Ashgate 2010 XX, 239 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. [201] - 235 Mathematisches Modell Primary commodities Prices Mathematical models Rohstoffpreis (DE-588)4050428-1 gnd rswk-swf Prognosemodell (DE-588)4125215-9 gnd rswk-swf Ökonometrie (DE-588)4132280-0 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Rohstoffpreis (DE-588)4050428-1 s Zeitreihenanalyse (DE-588)4067486-1 s Ökonometrie (DE-588)4132280-0 s DE-604 Prognosemodell (DE-588)4125215-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022624828&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Labys, Walter C. 1937- Modeling and forecasting primary commodity prices Mathematisches Modell Primary commodities Prices Mathematical models Rohstoffpreis (DE-588)4050428-1 gnd Prognosemodell (DE-588)4125215-9 gnd Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4050428-1 (DE-588)4125215-9 (DE-588)4132280-0 (DE-588)4067486-1 |
| title | Modeling and forecasting primary commodity prices |
| title_auth | Modeling and forecasting primary commodity prices |
| title_exact_search | Modeling and forecasting primary commodity prices |
| title_full | Modeling and forecasting primary commodity prices Walter C. Labys |
| title_fullStr | Modeling and forecasting primary commodity prices Walter C. Labys |
| title_full_unstemmed | Modeling and forecasting primary commodity prices Walter C. Labys |
| title_short | Modeling and forecasting primary commodity prices |
| title_sort | modeling and forecasting primary commodity prices |
| topic | Mathematisches Modell Primary commodities Prices Mathematical models Rohstoffpreis (DE-588)4050428-1 gnd Prognosemodell (DE-588)4125215-9 gnd Ökonometrie (DE-588)4132280-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Mathematisches Modell Primary commodities Prices Mathematical models Rohstoffpreis Prognosemodell Ökonometrie Zeitreihenanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022624828&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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