You are previewing Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior.
O'Reilly logo
Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior

Book Description

Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education-all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.

Table of Contents

  1. Title Page
  2. Copyright Page
  3. Dedication
  4. Preface
  5. Acknowledgements
  6. PART One - Dynamics of Commodity Price Behavior
    1. CHAPTER 1 - Indirect Inference and Long Memory A New Truncated-Series ...
      1. INTRODUCTION
      2. ALMOST SURE CONSISTENCY OF THE NLS ESTIMATOR FROM OUR TRUNCATED MODEL
      3. IDENTIFICATION AND ESTIMATION OF THE TRUNCATED LONG MEMORY PROCESS
      4. INFORMAL PROOF OF THE CONVERGENCE OF THE ABOVE ESTIMATION PROCEDURE
      5. APPLICATIONS
      6. CONCLUSIONS
      7. APPENDIX: PROOF OF CONSISTENCY OF THE ESTIMATOR D*
      8. REFERENCES
    2. CHAPTER 2 - Procyclicality of Primary Commodity Prices A Stylized Fact?
      1. INTRODUCTION
      2. COMMODITY PRICES AND BUSINESS CYCLES
      3. EMPIRICAL PROCEDURE
      4. EMPIRICAL EVIDENCE
      5. CONCLUSIONS
      6. REFERENCES
    3. CHAPTER 3 - Nonlinear Features of Comovements between Commodity Prices and Inflation
      1. INTRODUCTION
      2. BACKGROUND
      3. HRISTU-VARSAKELIS AND KYRTSOU NONLINEAR GRANGER CAUSALITY TEST (2006)
      4. DATA DESCRIPTION AND EMPIRICAL RESULTS
      5. CONCLUSIONS
      6. APPENDIX: PRICE SERIES USED
      7. REFERENCES
    4. CHAPTER 4 - The Oil Price and the Dollar Reconsidered
      1. INTRODUCTION
      2. PREVIOUS RESEARCH
      3. EVALUATING THE COINTEGRATING RELATIONSHIP
      4. EVALUATING THE CAUSAL RELATIONSHIP
      5. CONCLUSIONS
      6. REFERENCES
  7. PART Two - Inventory Dynamics and Price Behavior
    1. CHAPTER 5 - Time-Varying Ratios of Primary and Scrap Metal Prices Importance ...
      1. INTRODUCTION
      2. PRIMARY AND SCRAP PRICE BEHAVIOR
      3. PRIMARY-TO-SCRAP PRICE RATIOS
      4. MODELING PRICE RATIOS
      5. EMPIRICAL RESULTS
      6. CONCLUSIONS
      7. REFERENCES
    2. CHAPTER 6 - Metal Prices and the Supply of Storage
      1. INTRODUCTION
      2. INVENTORY BEHAVIOR AND PRICES
      3. THEORY OF STORAGE
      4. EMPIRICAL STORAGE CURVE
      5. COINTEGRATION AND CAUSALITY
      6. CONCLUSIONS
      7. REFERENCES
    3. CHAPTER 7 - Testing for Temporal Asymmetry in the Metal Price-Stock Relationship
      1. INTRODUCTION
      2. STOCKS AND MARKET EQUILIBRIUM
      3. ECONOMETRIC METHODOLOGY
      4. EMPIRICAL TESTS FOR THRESHOLD COINTEGRATION
      5. EMPIRICAL TESTS FOR CAUSALITY AND IMPLICATIONS
      6. CONCLUSIONS
      7. APPENDIX: THREE ASYMPTOTICALLY EQUIVALENT TESTS FOR GRANGER-CAUSALITY
      8. REFERENCES
    4. CHAPTER 8 - Do Fluctuations in Wine Stocks Affect Wine Prices?
      1. INTRODUCTION
      2. BACKGROUND
      3. INVENTORY AND PRICE BEHAVIOR
      4. TESTING FOR TRENDS
      5. COINTEGRATION BETWEEN STOCKS AND PRICES
      6. VECTOR AUTOREGRESSION AND IMPULSE RESULTS
      7. CONCLUSIONS
      8. REFERENCES
      9. WINE DATA REFERENCES
  8. PART Three - Dynamics of Resource Markets
    1. CHAPTER 9 - Dynamic Quadratic Programming in Process Control
      1. INTRODUCTION
      2. PROCESS CONTROL MODELS COMPARED
      3. CONCLUSIONS
      4. REFERENCES
    2. CHAPTER 10 - Pollution Taxes and Price Control in the U.S. Coal Market A Rent ...
      1. INTRODUCTION
      2. SMITH’S RENT-MINIMIZATION SPATIAL EQUILIBRIUM MODEL
      3. SIMULATED RESULTS OF THE U.S. COAL MARKET
      4. CONCLUSIONS
      5. REFERENCES
    3. CHAPTER 11 - A Forecasting Simulation of Coal in Indonesia’s Energy Future
      1. INTRODUCTION
      2. CHRONOLOGY OF COAL DEVELOPMENT
      3. TECHNO-ECONOMIC EVALUATION OF COAL’S POTENTIAL
      4. MACROECONOMIC IMPACTS OF FUEL DEVELOPMENT
      5. CONCLUSIONS
      6. REFERENCES
    4. CHAPTER 12 - Structural Decomposition Analysis of Changes in Material Demand in ...
      1. INTRODUCTION
      2. REVIEW OF THE LITERATURE
      3. CONCEPTUAL FRAMEWORK
      4. ESTIMATING EQUATIONS
      5. APPLICATION
      6. CONCLUSIONS
      7. REFERENCES
  9. PART Four - Environmental Resource Dynamics
    1. CHAPTER 13 - Linking Trade and the Environment in China
      1. INTRODUCTION
      2. TRADE AND THE ENVIRONMENT IN CHINA
      3. MODEL SPECIFICATION AND ESTIMATION
      4. DATA AND VARIABLES
      5. MODEL SIMULATION
      6. RESULTS AND DISCUSSIONS
      7. IMPACTS OF AN INCREASE IN TRADE VALUES
      8. CONCLUSIONS
      9. REFERENCES
    2. CHAPTER 14 - Critical Needs in China’s Water Resources
      1. INTRODUCTION
      2. CHINA FACES A SEVERE WATER CRISIS
      3. TECHNICAL SOLUTIONS ARE AVAILABLE AND ECONOMICALLY FEASIBLE
      4. CREATING A WATER MARKET FOR THE LONG TERM
      5. STRENGTHENING POLLUTION MANAGEMENT
      6. CONCLUSIONS
      7. REFERENCES
    3. CHAPTER 15 - Public Input in Rural Land Preservation
      1. INTRODUCTION
      2. STANDARD STRENGTH OF PREFERENCE MODEL
      3. MODEL ALLOWING FOR PREFERENCE ASYMMETRIES
      4. DATA
      5. EMPIRICAL RESULTS
      6. CONCLUSIONS
      7. REFERENCES
    4. CHAPTER 16 - African Women in Mining Partnerships
      1. INTRODUCTION
      2. WOMEN’S INVOLVEMENT IN MINING
      3. FACTORING IN WOMEN INTO GLOBAL PARTNERSHIPS
      4. TRUE FOCUS REMAINS SUSTAINABLE DEVELOPMENT
      5. CONCLUSIONS
      6. REFERENCES
  10. EPILOGUE
  11. List of Contributors
  12. Index