Commodity Models for Forecasting and Policy Analysis
Author : Walter C. Labys
Publisher : Routledge
Page : 209 pages
File Size : 30,98 MB
Release : 1984
Category : Commodity exchanges
ISBN : 9780709916161
Commodity Models for Forecasting and Policy Analysis
Author : Walter C. Labys
Publisher : Taylor & Francis
Page : 222 pages
File Size : 22,29 MB
Release : 2024-02-01
Category : Business & Economics
ISBN : 1003846718
Book Description
Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
International Commodity Market Models and Policy Analysis
Author : O. Güvenen
Publisher : Springer Science & Business Media
Page : 276 pages
File Size : 49,59 MB
Release : 2012-12-06
Category : Business & Economics
ISBN : 940091167X
Book Description
o. Guvenen, University of Paris IX-Dauphine The aim of this publication is to present recent developments in international com modity market model building and policy analysis. This book is based mainly on the research presented at the XlIth International Conference organised by the Applied Econometric Association (AEA) which was held at the University of Zaragoza in Spain. This conference would not have been possible with out the cooperation of the Department of Econometrics of the University of Zaragoza and its Chairman A.A. Grasa. I would like to express my thanks to all contributors. I am grateful to J.H.P. Paelinck, J.P. Ancot, A.J. Hughes Hallett and H. Serbat for their constructive contributions and comments concerning the structure of the book. vii INTRODUCTION o. Guvenen The challenge of increasing complexity and global interdependence at the world level necessitates new modelling approaches and policy analysis at the macroeconomic level, and for commodities. The evaluation of economic modelling.follows the evolution of international economic phenomena. In that interdependent context there is a growing need for forecasting and simulation tools in the analysis of international primary com modity markets.
Modeling and Forecasting Primary Commodity Prices
Author : Walter C. Labys
Publisher : Routledge
Page : 247 pages
File Size : 40,45 MB
Release : 2017-03-02
Category : Business & Economics
ISBN : 1351917080
Book Description
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Forecasting commodity prices using long-short-term memory neural networks
Author : Ly, Racine
Publisher : Intl Food Policy Res Inst
Page : 26 pages
File Size : 26,89 MB
Release : 2021-02-10
Category : Political Science
ISBN :
Book Description
This paper applies a recurrent neural network (RNN) method to forecast cotton and oil prices. We show how these new tools from machine learning, particularly Long-Short Term Memory (LSTM) models, complement traditional methods. Our results show that machine learning methods fit reasonably well with the data but do not outperform systematically classical methods such as Autoregressive Integrated Moving Average (ARIMA) or the naïve models in terms of out of sample forecasts. However, averaging the forecasts from the two type of models provide better results compared to either method. Compared to the ARIMA and the LSTM, the Root Mean Squared Error (RMSE) of the average forecast was 0.21 and 21.49 percent lower, respectively, for cotton. For oil, the forecast averaging does not provide improvements in terms of RMSE. We suggest using a forecast averaging method and extending our analysis to a wide range of commodity prices.
Commodity Models for Forecasting and Policy Analysis
Author : Walter C. Labys
Publisher : Taylor & Francis
Page : 222 pages
File Size : 21,7 MB
Release : 2024-02-01
Category : Business & Economics
ISBN : 100384670X
Book Description
Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
Recent Developments in Commodity Modeling
Author : Walter C. Labys
Publisher : World Bank Publications
Page : 57 pages
File Size : 37,13 MB
Release : 1988
Category : Commercial products
ISBN :
Book Description
A review of the state of the art of Bank commodity modeling for forecasting and analysis of supplies, demand, and prices.
Commodity Prices and Markets
Author : Takatoshi Ito
Publisher : University of Chicago Press
Page : 346 pages
File Size : 37,31 MB
Release : 2011-03
Category : Business & Economics
ISBN : 0226386899
Book Description
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Primary Commodity Prices
Author : L. Alan Winters
Publisher : Cambridge University Press
Page : 334 pages
File Size : 10,11 MB
Release : 1990-03-08
Category : Business & Economics
ISBN : 9780521385503
Book Description
Commodity markets are of considerable interest and importance to economists, econometricians and dealers. This book reports the proceedings of an international conference on 'Primary Commodity Prices: Economic Models and Policy', held in London under the auspices of the Centre for Economic Policy Research in March 1989. A range of papers by leading international authorities covers topics such as expectations formation in econometric commodity market models; price determination in the market for aluminium; the estimation of dynamic disequilibrium models with rational expectations; and a comparison of forward markets and buffer stocks as commodity earnings stabilizers. A key feature of this stock is its development of the policy implications of theoretical and empirical work in the field of commodity economics. Most papers are accompanied by discussant's comments to draw out their technical and policy implications. The book's readership will include commodity economists, commodity market practitioners and policy analysis, as well as professionals and advanced students interested in the fields of applied econometrics, economic development and international trade.
Agricultural Prices and Commodity Market Analysis
Author : John N. Ferris
Publisher : MSU Press
Page : 361 pages
File Size : 24,29 MB
Release : 2005
Category : Business & Economics
ISBN : 9780870137518
Book Description
Agricultural Prices and Commodity MarketAnalysis discusses the application of economictheory to agriculture and the foodindustry, using quantitative tools. The blendof theory and application is unique in detailinghow demand and supply can be measuredand how econometric simulationmodels can be constructed and evaluated.This revised edition focuses on forecastingand generating long-term projections as wellas discussing the relatively unexplored areaof stochastic modeling, which is critical inhandling crop yield variability. Other topicscovered include agricultural policy analysisand futures/options markets. The role oftime series models in improving structuralequations and forecasting techniques providesa capstone.
