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New Directions in the Modeling and Forecasting of Commodity Markets

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  • Walter C. Labys
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    Abstract

    This paper reviews the current state of economic and econometric research dealing with the modeling of commodity markets and their role in economic development. The application of statistical methods to commodity markets and prices has been limited because of the erratic behavior of prices and quantities over time. Nonetheless, a very rich field of modeling and forecasting has grown over time. This research began with the analysis of agricultural demand, supply and prices in a market context and later was extended to mineral and energy industries. These models not only analyzed market history, but also evaluated commodity policies and forecast commodity prices. This paper first provides a perspective on the current status of this research and then offers prescriptions for the future.

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    Bibliographic Info

    Article provided by De Boeck Université in its journal Mondes en développement.

    Volume (Year): 122 (2003)
    Issue (Month): 2 ()
    Pages: 3-19

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    Handle: RePEc:cai:meddbu:med_122_0003

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    Web page: http://www.cairn.info/revue-mondes-en-developpement.htm

    Related research

    Keywords: Commodity models; econometric models; commodity price forecasting; commodities and economic development;

    References

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    Cited by:
    1. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.

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