IDEAS home Printed from https://ideas.repec.org/a/cai/meddbu/med_122_0003.html
   My bibliography  Save this article

New Directions in the Modeling and Forecasting of Commodity Markets

Author

Listed:
  • Walter C. Labys

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.

Suggested Citation

  • Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19.
    • Handle: RePEc:cai:meddbu:med_122_0003
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=MED_122_0003
    Download Restriction: free
    File URL: http://www.cairn.info/revue-mondes-en-developpement-2003-2-page-3.htm
    Download Restriction: free
    ---><---

    References listed on IDEAS

    as
    1. Bentzen, Jan & Engsted, Tom, 1993. "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, vol. 15(1), pages 9-16, January.
    2. Labys, W. C. & Achouch, A. & Terraza, M., 1999. "Metal prices and the business cycle," Resources Policy, Elsevier, vol. 25(4), pages 229-238, December.
    3. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-1093, December.
    4. Paul Cashin & Hong Liang & C. John McDermott, 2000. "How Persistent Are Shocks to World Commodity Prices?," IMF Staff Papers, Palgrave Macmillan, vol. 47(2), pages 1-2.
    5. Labys, W. C. & Paik, S. & Liebenthal, A. M., 1979. "An econometric simulation model of the US market for steam coal," Energy Economics, Elsevier, vol. 1(1), pages 19-26, January.
    6. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "The myth of co-moving commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/9, Reserve Bank of New Zealand.
    7. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
    8. Mundlak, Yair & Larson, Donald F, 1992. "On the Transmission of World Agricultural Prices," The World Bank Economic Review, World Bank, vol. 6(3), pages 399-422, September.
    9. Cuddington, John T., 1992. "Long-run trends in 26 primary commodity prices : A disaggregated look at the Prebisch-Singer hypothesis," Journal of Development Economics, Elsevier, vol. 39(2), pages 207-227, October.
    10. Grilli, Enzo R & Yang, Maw Cheng, 1988. "Primary Commodity Prices, Manufactured Goods Prices, and the Terms of Trade of Developing Countries: What the Long Run Shows," The World Bank Economic Review, World Bank, vol. 2(1), pages 1-47, January.
    11. Victor Zarnowitz, 1984. "Recent Work on Business Cycles in Historical Perspective: Review of Theories and Evidence," NBER Working Papers 1503, National Bureau of Economic Research, Inc.
    12. Bertrand M. Roehner, 1996. "The Role of Transportation Costs in the Economics of Commodity Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(2), pages 339-353.
    13. Palaskas, Theodosios B. & Varangis, Panos N., 1991. "Is there excess co-movement of primary commodity prices? A co-integration test," Policy Research Working Paper Series 758, The World Bank.
    14. Alexandre Mathis & Lucrezia Reichlin, 1991. "Prix des matières premières : un test sur l'hypothèse d'efficience des marchés," Revue de l'OFCE, Programme National Persée, vol. 37(1), pages 123-138.
    15. Eduardo Borensztein & Carmen M. Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 236-261, June.
    16. Chen, Dean T. & Bessler, David A., 1990. "Forecasting monthly cotton price: Structural and time series approaches," International Journal of Forecasting, Elsevier, vol. 6(1), pages 103-113.
    17. Barkoulas, John T & Labys, Walter C & Onochie, Joseph I, 1999. "Long Memory In Futures Prices," The Financial Review, Eastern Finance Association, vol. 34(1), pages 91-100, February.
    18. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399.
    19. Pierre Perron, 1994. "Trend, Unit Root and Structural Change in Macroeconomic Time Series," Palgrave Macmillan Books, in: B. Bhaskara Rao (ed.), Cointegration, chapter 4, pages 113-146, Palgrave Macmillan.
    20. Protopapadakis, Aris & Stoll, Hans R, 1983. "Spot and Futures Prices and the Law of One Price," Journal of Finance, American Finance Association, vol. 38(5), pages 1431-1455, December.
    21. Pier Giorgio Ardeni, 1989. "Does the Law of One Price Really Hold for Commodity Prices?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(3), pages 661-669.
    22. Philip K. Verleger, Jr., 1993. "Adjusting to Volatile Energy Prices," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 41, October.
    23. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
    24. Holt, Matthew & Aradhyula, Satheesh V., 1990. "Price Risk in Supply Equations: An Application of Garch Time-Series Models to the U.S. Broiler Market," Staff General Research Papers Archive 276, Iowa State University, Department of Economics.
    25. Pindyck, Robert S, 1978. "The Optimal Exploration and Production of Nonrenewable Resources," Journal of Political Economy, University of Chicago Press, vol. 86(5), pages 841-861, October.
    26. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    27. Eduardo Borensztein & Carmen M. Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 236-261, June.
    28. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
    29. Uma J. Lele, 1967. "Market Integration: A Study of Sorghum Prices in Western India," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 49(1_Part_I), pages 147-159.
    30. Mackey, Michael C., 1989. "Commodity price fluctuations: Price dependent delays and nonlinearities as explanatory factors," Journal of Economic Theory, Elsevier, vol. 48(2), pages 497-509, August.
    31. Agnon, Yehuda & Golan, Amos & Shearer, Matthew, 1999. "Nonparametric, nonlinear, short-term forecasting: theory and evidence for nonlinearities in the commodity markets," Economics Letters, Elsevier, vol. 65(3), pages 293-299, December.
    32. Trieu, Luan Ho & Savage, Eric & Dwyer, Gavan, 1994. "A model of the world uranium market," Energy Policy, Elsevier, vol. 22(4), pages 317-329, April.
    33. Suwala, Wojciech & Labys, Walter C., 2002. "Market transition and regional adjustments in the Polish coal industry," Energy Economics, Elsevier, vol. 24(3), pages 285-303, May.
    34. Murray Frank & Thanasis Stengos, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(4), pages 553-567.
    35. Jean-Paul Chavas & Matthew T. Holt, 1991. "On Nonlinear Dynamics: The Case of the Pork Cycle," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(3), pages 819-828.
    36. Fafchamps, Marcel & Gavian, Sarah, 1996. "The Spatial Integration of Livestock Markets in Niger," Journal of African Economies, Centre for the Study of African Economies, vol. 5(3), pages 366-405, October.
    37. Cuddington, John T & Urzua, Carlos M, 1989. "Trends and Cycles in the Net Barter Terms of Trade: A New Approach," Economic Journal, Royal Economic Society, vol. 99(396), pages 426-442, June.
    38. Davutyan, Nurhan & Roberts, Mark C., 1994. "Cyclicality in metal prices," Resources Policy, Elsevier, vol. 20(1), pages 49-57, March.
    39. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
    40. Labys, W C & Lesourd, J B & Badillo, D, 1998. "The existence of metal price cycles," Resources Policy, Elsevier, vol. 24(3), pages 147-155, September.
    41. Yu, Eden S. H. & Jin, Jang C., 1992. "Cointegration tests of energy consumption, income, and employment," Resources and Energy, Elsevier, vol. 14(3), pages 259-266, September.
    42. Boum-Jong Choe, 1990. "Rational expectations and commodity price forecasts," Policy Research Working Paper Series 435, The World Bank.
    43. Cheung, Yin-Wong & Lai, Kon S, 1993. "Do Gold Market Returns Have Long Memory?," The Financial Review, Eastern Finance Association, vol. 28(2), pages 181-202, May.
    44. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.
    2. Ojogho, Osaihiomwan & Egware, Robert Awotu, 2015. "Price Generating Process And Volatility In Nigerian Agricultural Commodities Market," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(4), pages 1-10, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.
    2. repec:rri:wpaper:200501 is not listed on IDEAS
    3. Cuddington, John T. & Ludema, Rodney & Jayasuriya, Shamila A, 2002. "Prebisch-Singer Redux," Working Papers 15857, United States International Trade Commission, Office of Economics.
    4. Rossen, Anja, 2015. "What are metal prices like? Co-movement, price cycles and long-run trends," Resources Policy, Elsevier, vol. 45(C), pages 255-276.
    5. Luis Eduardo Arango & Fernando Arias & Luz Adriana Flórez, 2008. "Trends, Fluctuations, and Determinants of Commodity Prices," Borradores de Economia 521, Banco de la Republica de Colombia.
    6. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
    7. Labys, W. C. & Achouch, A. & Terraza, M., 1999. "Metal prices and the business cycle," Resources Policy, Elsevier, vol. 25(4), pages 229-238, December.
    8. Ms. Hong Liang & Mr. John T. Cuddington, 2000. "Will the Emergence of the Euro Affect World Commodity Prices?," IMF Working Papers 2000/208, International Monetary Fund.
    9. Baffes, John & Kabundi, Alain, 2023. "Commodity price shocks: Order within chaos?," Resources Policy, Elsevier, vol. 83(C).
    10. Labys, W C & Lesourd, J B & Badillo, D, 1998. "The existence of metal price cycles," Resources Policy, Elsevier, vol. 24(3), pages 147-155, September.
    11. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2013. "Primary commodity prices: Co-movements, common factors and fundamentals," Journal of Development Economics, Elsevier, vol. 101(C), pages 16-26.
    12. repec:fgv:epgewp:736 is not listed on IDEAS
    13. Kausik Chaudhuri, 2001. "Long-run prices of primary commodities and oil prices," Applied Economics, Taylor & Francis Journals, vol. 33(4), pages 531-538.
    14. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Money Affairs, CEMLA, vol. 0(1), pages 1-30, January-J.
    15. James O. Bukenya & Walter C. Labys, 2005. "Price Convergence on World Commodity Markets: Fact or Fiction?," International Regional Science Review, , vol. 28(3), pages 302-329, July.
    16. Frankel, Jeffrey A., 2012. "The Natural Resource Curse: A Survey of Diagnoses and Some Prescriptions," Scholarly Articles 8694932, Harvard Kennedy School of Government.
    17. Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
    18. Manuel Landajo & María José Presno, 2022. "The prices of renewable commodities: a robust stationarity analysis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 447-470, April.
    19. Cuddington, John T. & Liang, Hong, "undated". "Will the Emergence of the Euro Affect World Commodity Prices?," WIDER Working Papers 295505, United Nations University, World Institute for Development Economic Research (UNU-WIDER).
    20. Serge Calabre, 2003. "La dynamique des prix et des marchés de matières premières : analyses univariées versus faits stylisés analytiques," Mondes en développement, De Boeck Université, vol. 122(2), pages 21-35.
    21. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
    22. Baffes, John & Haniotis, Tassos, 2010. "Placing the 2006/08 commodity price boom into perspective," Policy Research Working Paper Series 5371, The World Bank.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:meddbu:med_122_0003. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-mondes-en-developpement.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.