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Commodity Prices Revisited

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  • Tomek, William G.
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    Abstract

    Empirical models of commodity prices are potentially important aids to decision-makers, especially as the economy has grown more complex. A typical time series of commodity prices exhibits positive autocorrelation, occasional spikes, and random variability, and conceptual models have been developed to explain this behavior. But, the leap from theory to empirical applications is large because of model specification and data quality problems. When modeling price expectations, for example, should a price series be deflated and if so, by what deflator? The choice can have a large effect on empirical results. Nonetheless, it is possible in some applications to obtain relatively stable-estimates of structural parameters that are useful for addressing specific problems. This may not happen often, however, because the incentives in academia do not encourage rigorous, in-depth appraisals of empirical results.

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    Bibliographic Info

    Article provided by Northeastern Agricultural and Resource Economics Association in its journal Agricultural and Resource Economics Review.

    Volume (Year): 29 (2000)
    Issue (Month): 2 (October)
    Pages:

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    Handle: RePEc:ags:arerjl:31309

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    Web page: http://www.narea.org/
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    Keywords: Demand and Price Analysis;

    References

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    1. McNew, Kevin, 1996. "Spatial Market Integration: Definition, Theory, And Evidence," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, Northeastern Agricultural and Resource Economics Association, vol. 25(1), April.
    2. Just, Richard E., 1993. "Discovering Production and Supply Relationships: Present Status and Future Opportunities," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 61(01), April.
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    4. Alston, Julian M. & Chalfant, James A., 1991. "Can We Take The Con Out Of Meat Demand Studies?," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 16(01), July.
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    7. Roy Bailey and Marcus Chambers, . "A Theory of Commodity Price Fluctuations," Economics Discussion Papers, University of Essex, Department of Economics 432, University of Essex, Department of Economics.
    8. Myers, Robert J., 1994. "Time Series Econometrics and Commodity Price Analysis: A Review," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 62(02), August.
    9. Brorsen, B. Wade & Irwin, Scott H., 1996. "Improving The Relevance Of Research On Price Forecasting And Marketing Strategies," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, Northeastern Agricultural and Resource Economics Association, vol. 25(1), April.
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    11. Tomek, William G., 1994. "Economic forecasting in agriculture: Comment," International Journal of Forecasting, Elsevier, Elsevier, vol. 10(1), pages 143-145, June.
    12. Peterson, Hikaru Hanawa & Tomek, William G., 2000. "Implications Of Deflating Commodity Prices For Time-Series Analysis," 2000 Conference, April 17-18 2000, Chicago, Illinois, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 18944, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    13. Chavas, Jean-Paul, 1999. "On The Economic Rationality Of Market Participants: The Case Of Expectations In The U.S. Pork Market," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 24(01), July.
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    15. Tomek, William G. & Myers, Robert J., 1993. "Empirical Analysis Of Agricultural Commodity Prices: A Viewpoint," Working Papers, Cornell University, Department of Applied Economics and Management 6847, Cornell University, Department of Applied Economics and Management.
    16. Spanos, Aris, 1995. "On theory testing in econometrics : Modeling with nonexperimental data," Journal of Econometrics, Elsevier, Elsevier, vol. 67(1), pages 189-226, May.
    17. Tauer, Loren W., 2000. "Investment Analysis In Agriculture," Staff Papers, Cornell University, Department of Applied Economics and Management 14763, Cornell University, Department of Applied Economics and Management.
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    Cited by:
    1. Sophie Mitra & Jean‐Marc Boussard, 2012. "A simple model of endogenous agricultural commodity price fluctuations with storage," Agricultural Economics, International Association of Agricultural Economists, vol. 43(1), pages 1-15, 01.
    2. Loren Tauer, 2005. "When to Get In and Out of Dairy Farming: A Real Option Analysis," Finance, EconWPA 0504018, EconWPA.
    3. Choudhry, Taufiq, 2009. "Short-run deviations and time-varying hedge ratios: Evidence from agricultural futures markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 58-65, March.

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