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Commodity Prices Revisited

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  • Tomek, William G.

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.

Suggested Citation

  • Tomek, William G., 2000. "Commodity Prices Revisited," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 29(2), October.
  • Handle: RePEc:ags:arerjl:31309
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    Cited by:

    1. repec:eee:ecmode:v:64:y:2017:i:c:p:312-321 is not listed on IDEAS
    2. Ubilava, David, 2016. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," Working Papers 2016-10, University of Sydney, School of Economics.
    3. Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
    4. Tauer, Loren W., 2006. "When to Get In and Out of Dairy Farming: A Real Option Analysis," Agricultural and Resource Economics Review, Cambridge University Press, vol. 35(02), pages 339-347, October.
    5. 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.
    6. 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, January.

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    Keywords

    Demand and Price Analysis;

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