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Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior


Praise for Commodity Modeling and Pricing

"It is a pleasure to see this important book in print. There is deep knowledge concerning particular industries behind the analysis in many of these contributions. From my perspective, the combination of strong econometrics and strong industry-based analysis is hard to beat."
—Frank Giarratani, Director and Professor of Economics, University of Pittsburgh

"Walter Labys arrived at the University of Nottingham soon after I had finished a book on the predictability of stock market prices with Oskar Morgenstern, and so I suggested that Walter apply the same approach to the set of speculative markets involving commodities. The result was a huge success; many of the prices seemed to be well approximated by random walks but plenty of other relationships were discovered. Commodity Modeling and Pricing extends the area of study to a wider class of questions as a great range of data and several new generations of econometric techniques have become available. The whole area of commodity modeling will clearly continue to expand in width and depth."
—Sir Clive W. J. Granger, University of California–San Diego, Nobel Prize Winner in Economics–2003

"This is an impressive collection of essays applying the latest methods for analyzing commodity market behavior. How far this field has come!"
—F. Gerard Adams, Emeritus Professor, University of Pennsylvania

How to effectively analyze, model, and forecast today's commodity markets

Commodity Modeling and Pricing offers a collection of studies—by some of the world's leading economists—that will serve as a complete guide to resource commodity behavior. Each study provides state-of-the-art analysis on the modeling of commodity markets and prices and on the application of these methods to agriculture, energy, minerals, and the environment.

This book first considers the way in which commodity prices exhibit nonlinear, cyclical, or chaotic fluctuations over time. It then moves on to emphasize how market disequilibrium reflected in inventory adjustments affects this price behavior. With a fine balance between theoretical and empirical research, these essays point to new ways in which the dynamic—if not unstable—nature of commodity markets can be dealt with, not only in terms of individual market activity but also in terms of their interactions with the economy and the environment.

Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.

Peter Schaeffer is Professor of Economic Policy at West Virginia University and served as a director of the Division of Resource Management, which includes the Division of Agricultural and Resource Economics, from 1993 to 2006. He was a visiting professor of regional and environmental economics at the Swiss Federal Institute of Technology, Zurich, and a visiting scholar at the International Labour Organization in Geneva.
Preface ix

Acknowledgments xi

PART ONE Dynamics of Commodity Price Behavior 1

CHAPTER 1 Indirect Inference and Long Memory: A New Truncated-Series Estimation Method
Armand Sadler, Jean-Baptiste Lesourd, and Velayoudom Marimoutou 3

CHAPTER 2 Procyclicality of Primary Commodity Prices: A Stylized Fact?
A. Behrooz Afrasiabi 30

CHAPTER 3 Nonlinear Features of Comovements between Commodity Prices and Inflation
Catherine Kyrtsou 52

CHAPTER 4 The Oil Price and the Dollar Reconsidered
Sadek Melhem and Michel Terraza 65

PART TWO Inventory Dynamics and Price Behavior 77

CHAPTER 5 Time-Varying Ratios of Primary and Scrap Metal Prices: Importance of Inventories
Irene M. Xiarchos 79

CHAPTER 6 Metal Prices and the Supply of Storage
Paul Crompton and Irene M. Xiarchos 103

CHAPTER 7 Testing for Temporal Asymmetry in the Metal Price-Stock Relationship
Eugene Kouassi 118

CHAPTER 8 Do Fluctuations in Wine Stocks Affect Wine Prices?
James O. Bukenya 136

PART THREE Dynamics of Resource Markets 167

CHAPTER 9 Dynamic Quadratic Programming in Process Control
Bruce A. Bancroft 169

CHAPTER 10 Pollution Taxes and Price Control in the US Coal Market: A Rent Minimization Model
Chin W. Yang and Ming-Jeng Hwang 176

CHAPTER 11 A Forecasting Simulation of Coal in Indonesia's Energy Future
Ukar W. Soelistijo 185

CHAPTER 12 Structural Decomposition Analysis of Changes in Material Demand in the U.S. Economy
Adam Rose and Chia-Yon Chen 195

PART FOUR Environmental Resource Dynamics 209

CHAPTER 13 Linking Trade and the Environment in China
Haixiao Huang 211

CHAPTER 14 Critical Needs in China's Water Resources
Andres Liebenthal 229

CHAPTER 15 Public Input in Rural Land Preservation: Modeling Preference Asymmetries in Stated Preference Data
Robert J. Johnston and Kelly Giraud Cullen 247

CHAPTER 16 African Women in Mining Partnerships
Brigitte Bocoum 267

EPILOGUE Conclusions and Perspective
Walter C. Labys 279

List of Contributors 289

Index 295