IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Commodity Price Fluctuations: A Century of Analysis

Listed author(s):
  • Walter Labys

    (Division of Resource Management, West Virginia University)

Registered author(s):

    Commodity prices again! The twentieth century has only been the latest spectator to the impacts and importance of commodity price fluctuations. It is reasonably well known that commodity price records have come down to us from the ancient civilizations of India, Mesopotamia, Egypt, Greece and Rome. Earlier in the century, formal research began on the relationships between agricultural demand, supply and prices in a market context. This research not only evolved in sophistication but extended to mineral and energy commodities. Also at the beginning of the century, some of the earliest work took place on applying statistical methods to price series. The purpose of this paper is to review how this progress has contributed to analyzing commodity markets and prices and to solving price forecasting problems, concentrating on more recent advances in econometric modeling and time series analysis. Attention is also paid to spatial developments that have implications for regional price modeling.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://rri.wvu.edu/wp-content/uploads/2012/11/labys2005-1wp.pdf
    Download Restriction: no

    Paper provided by Regional Research Institute, West Virginia University in its series Working Papers with number Working Paper 2005-01.

    as
    in new window

    Length: 45 pages
    Date of creation: 2005
    Handle: RePEc:rri:wpaper:2005wp01
    Contact details of provider: Postal:
    886 Chestnut Ridge Road, P.O. Box 6825, Morgantown, WV 26506-6825

    Phone: 304 293 2896
    Fax: 304 293 6699
    Web page: http://rri.wvu.edu/research/working-papers/
    Email:


    More information through EDIRC

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as
    in new window


    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    2. 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.
    3. 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.
    4. Joseph S. Weiss, 1970. "A Spectral Analysis of World Cocoa Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 52(1), pages 122-126.
    5. Adams, F. Gerard & Vial, Joaquin, 1988. "Explaining recent metals price swings : Exchange rates and structural considerations," Resources Policy, Elsevier, vol. 14(2), pages 85-96, June.
    6. Frederick C. Mills, 1927. "Introduction to "The Behavior of Prices"," NBER Chapters,in: The Behavior of Prices, pages 31-36 National Bureau of Economic Research, Inc.
    7. Boldrin, Michele & Woodford, Michael, 1990. "Equilibrium models displaying endogenous fluctuations and chaos : A survey," Journal of Monetary Economics, Elsevier, vol. 25(2), pages 189-222, March.
    8. René Lalonde & Zhenhua Zhu & Frédérick Demers, 2003. "Forecasting and Analyzing World Commodity Prices," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 1-30, January-J.
    9. Sapsford, D, 1985. "The Statistical Debate on the Net Barter Terms of Trade between Primary Commodities and Manufactures: A Comment and Some Additional Evidence," Economic Journal, Royal Economic Society, vol. 95(379), pages 781-788, September.
    10. Leuthold, Raymond M, 1972. "Random Walk and Price Trends: The Live Cattle Futures Market," Journal of Finance, American Finance Association, vol. 27(4), pages 879-889, September.
    11. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    12. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-533, October.
    13. Working, Holbrook, 1922. "Factors Determining the Price of Potatoes in St. Paul and Minneapolis," Technical Bulletins 7528, University of Minnesota, Agricultural Experiment Station.
    14. 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.
    15. Kenneth C. Hoffman & Dale W. Jorgenson, 1977. "Economic and Technological Models for Evaluation of Energy Policy," Bell Journal of Economics, The RAND Corporation, vol. 8(2), pages 444-466, Autumn.
    16. Paul Cashin & C. John McCDermott, 2002. "The Long-Run Behavior of Commodity Prices: Small Trends and Big Variability," IMF Staff Papers, Palgrave Macmillan, vol. 49(2), pages 1-2.
    17. Frank Asche & Helge Bremnes & Cathy R. Wessells, 1999. "Product Aggregation, Market Integration, and Relationships between Prices: An Application to World Salmon Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 568-581.
    18. Williams,Jeffrey C. & Wright,Brian D., 2005. "Storage and Commodity Markets," Cambridge Books, Cambridge University Press, number 9780521023399, October.
    19. 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.
    20. Karl Gunnar Persson, "undated". "Integration and Deregulation of European Grain Markets, 1500-1900," Discussion Papers 94-07, University of Copenhagen. Department of Economics.
    21. Bentzen, Jan, 1994. "An empirical analysis of gasoline demand in Denmark using cointegration techniques," Energy Economics, Elsevier, vol. 16(2), pages 139-143, April.
    22. Robert B. Barsky & Lutz Kilian, 2004. "Oil and the Macroeconomy Since the 1970s," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 115-134, Fall.
    23. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    24. Harvie, Charles & van Hoa, Tran, 1993. "Long-term relationships of major macro-variables in a resource-related economic model of Australia : A cointegration analysis," Energy Economics, Elsevier, vol. 15(4), pages 257-261, October.
    25. Kaldor, Nicholas, 1987. "The role of commodity prices in economic recovery," World Development, Elsevier, vol. 15(5), pages 551-558, May.
    26. 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.
    27. Goletti, Francesco & Babu, Suresh, 1994. "Market liberalization and integration of maize markets in Malawi," Agricultural Economics, Blackwell, vol. 11(2-3), pages 311-324, December.
    28. Christopher B. Barrett & Jau Rong Li, 2002. "Distinguishing between Equilibrium and Integration in Spatial Price Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(2), pages 292-307.
    29. 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.
    30. 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.
    31. Gerlow, Mary E. & Irwin, Scott H. & Liu, Te-Ru, 1993. "Economic evaluation of commodity price forecasting models," International Journal of Forecasting, Elsevier, vol. 9(3), pages 387-397, November.
    32. Park, Se-Hark, 1982. "An input-output framework for analysing energy consumption," Energy Economics, Elsevier, vol. 4(2), pages 105-110, April.
    33. Labys, Walter C., 1980. "Commodity price stabilization models: A review and appraisal," Journal of Policy Modeling, Elsevier, vol. 2(1), pages 121-136, January.
    34. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 299-307, October.
    35. Thirlwall, A. P. & Bergevin, J., 1985. "Trends, cycles and asymmetries in the terms of trade of primary commodities from developed and less developed countries," World Development, Elsevier, vol. 13(7), pages 805-817, July.
    36. Christ, Carl F, 1994. "The Cowles Commission's Contributions to Econometrics at Chicago, 1939-1955," Journal of Economic Literature, American Economic Association, vol. 32(1), pages 30-59, March.
    37. Harvey, A C & Todd, P H J, 1983. "Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study: Response," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(4), pages 313-315, October.
    38. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    39. Frederick C. Mills, 1936. "Prices in Recession and Recovery: A Survey of Recent Changes," NBER Books, National Bureau of Economic Research, Inc, number mill36-1, Enero-Jun.
    40. Richard J. Sexton & Catherine L. Kling & Hoy F. Carman, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(3), pages 568-580.
    41. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    42. John Baffes & Mohamed Ihsan Ajwad, 2001. "Identifying price linkages: a review of the literature and an application to the world market of cotton," Applied Economics, Taylor & Francis Journals, vol. 33(15), pages 1927-1941.
    43. 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.
    44. Granger, C. W. J. & Newbold, Paul, 1986. "Forecasting Economic Time Series," Elsevier Monographs, Elsevier, edition 2, number 9780122951831 edited by Shell, Karl.
    45. Granger, Clive W. J., 1992. "Fellow's opinion: Evaluating economic theory," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 3-5.
    46. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    47. Hunt, Lester & Manning, Neil, 1989. "Energy Price- and Income-Elasticities of Demand: Some Estimates for the UK Using the Cointegration Procedure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 36(2), pages 183-193, May.
    48. Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
    49. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    50. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    51. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    52. M. Burton, 1993. "Some Illustrations Of Chaos In Commodity Models," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 38-50.
    53. 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.
    54. Labys, Walter C., 1982. "Measuring the validity and performance of energy models," Energy Economics, Elsevier, vol. 4(3), pages 159-168, July.
    55. Baillie, Richard T. & Bollerslev, Tim, 1992. "Prediction in dynamic models with time-dependent conditional variances," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 91-113.
    56. Bob Baulch, 1997. "Transfer Costs, Spatial Arbitrage, and Testing for Food Market Integration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(2), pages 477-487.
    57. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
    58. Armstrong, J. Scott & Collopy, Fred, 1992. "Error measures for generalizing about forecasting methods: Empirical comparisons," International Journal of Forecasting, Elsevier, vol. 8(1), pages 69-80, June.
    59. Frederick C. Mills, 1936. "Index to "Prices in Recession and Recovery: A Survey of Recent Changes"," NBER Chapters,in: Prices in Recession and Recovery: A Survey of Recent Changes, pages 573-581 National Bureau of Economic Research, Inc.
    60. Jensen, Roderick V. & Urban, Robin, 1984. "Chaotic price behavior in a non-linear cobweb model," Economics Letters, Elsevier, vol. 15(3-4), pages 235-240.
    61. John T. Cuddington & Hong Liang, 1998. "Commodity Price Volatility Across Exchange Rate Regimes," International Finance 9802003, EconWPA, revised 11 May 1998.
    62. 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.
    63. C. W. J. Granger & C. M. Elliott, 1967. "A Fresh Look at Wheat Prices and Markets in the Eighteenth Century," Economic History Review, Economic History Society, vol. 20(2), pages 257-265, 08.
    64. A.J. Brown, 1988. "World Depression and the Price Level," National Institute Economic Review, National Institute of Economic and Social Research, vol. 123(1), pages 65-79, February.
    65. 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.
    66. 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.
    67. Andrews, Rick L, 1994. "Forecasting Performance of Structural Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 129-133, January.
    68. Frederick C. Mills, 1927. "The Behavior of Prices," NBER Books, National Bureau of Economic Research, Inc, number mill27-1, Enero-Jun.
    69. Walter Labys & Yves Perrin, 1976. "Multivariate analysis of price aspects of commodity stabilization," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 112(3), pages 556-564, September.
    70. Murray Frank & Thanasis Stengos, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 553-567.
    71. Frederick C. Mills, 1927. "Appendix to "The Behavior of Prices"," NBER Chapters,in: The Behavior of Prices, pages 441-586 National Bureau of Economic Research, Inc.
    72. Fafchamps, Marcel & Gavian, Sarah, 1996. "The Spatial Integration of Livestock Markets in Niger," Journal of African Economies, Centre for the Study of African Economies (CSAE), vol. 5(3), pages 366-405, October.
    73. Fox, Karl A., 1953. "The Analysis of Demand for Farm Products," Technical Bulletins 156646, United States Department of Agriculture, Economic Research Service.
    74. 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.
    75. Uri, Noel D., 1979. "A mixed time-series/econometric approach to forecasting peak system load," Journal of Econometrics, Elsevier, vol. 9(1-2), pages 155-171, January.
    76. Fildes, Robert, 1992. "The evaluation of extrapolative forecasting methods," International Journal of Forecasting, Elsevier, vol. 8(1), pages 81-98, June.
    77. Pindyck, Robert S, 1978. "Gains to Producers from the Cartelization of Exhaustible Resources," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 238-251, May.
    78. 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.
    79. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:rri:wpaper:2005wp01. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Randall Jackson)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.