Global commodity cycles and linkages: a FAVAR approach

Commodity Prices, Commodity Currencies, and Global Economic Developments

In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naïve statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a larg...

Have Commodity Index Funds Increased Price Linkages between Commodities? by

Linkages among agricultural commodity futures prices: evidence from Tokyo

Malliaris and Urrutia (1996) use cointegration to analyse the prices of agricultural commodity futures contracts traded on the Chicago Board of Trade (CBOT). They ® nd a long-run relationship among US grown corn, wheat, oat, soybean, soybean meal and soybean oil futures prices and assert that this empirical ® nding is consistent with two alternative hypotheses. The ® rst is that common economic...

Port-region linkages in a global perspective

The recent literature on ports and regional development mostly documents the weakening spatial fix of flows and the negative externalities of ports on their surrounding territories. Except for port impact studies that remain difficultly comparable across locations, such observations are mostly based on simplified measures of port activity, such as total port throughputs, and on developed countr...

Global dynamics in a commodity market model

We study the global behavior of the price dynamics in a commodity market governed by a balance between demand and supply. While the dependence of demand on price is considered instantaneous, the supply term contains a delay, leading to a delay–differential equation. A discrete model is naturally defined as a limit case of this equation. We provide a thorough study of the discrete case, and use ...