GLOBAL CRUDE OIL PRICE AND DOMESTIC FOOD COMMODITY PRICES: EVIDENCE FROM INDONESIA

Forecasting Model for Crude Oil Price Using Artificial Neural Networks and Commodity Futures Prices

This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal of attention was paid on finding the optimal ANN model structure. In addition, several methods of data pre-processing were tested. Our approach is to create a benchmark based on lagged value of pre-processed spot price, the...

The Impact of Bio-Ethanol Conversion and Global Climate Change on Corn Economic Performanve of Indonesia

Many studies conclude that the rise in global food prices due to higher demand from the development of biofuels, climate anomalies, and increased of oil prices. Not only the food commodity index rose more than 60 percent, nonfood commodity price index also rose over 60 percent and crude oil price index has increased even further above 60 percent. The purpose of this study is to analyze the impa...

Mean and Variance Dynamics between Agricultural Commodity Prices and Crude Oil Prices

Forecasting commodity prices by classification methods: The cases of crude oil and natural gas spot prices

In this article, we forecast crude oil and natural gas spot prices at a daily frequency based on two classification techniques: artificial neural networks (ANN) and support vector machines (SVM). As a benchmark, we utilize an autoregressive integrated moving average (ARIMA) specification. We evaluate outof-sample forecast based on encompassing tests and mean-squared prediction error (MSPE). We ...

Global oil prices, macroeconomic fundamentals and China's commodity sector comovements

This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indi...