B2B spot market has grown rapidly and become an effective trading channel for commodity products. Besides long-term contract procurement from conventional suppliers (forward and option), a buyer can procure or sell commodities at any time in B2B spot market to adjust her inventory level. However, spot prices are generally volatile and the market is imperfect in the sense that spot trading may b...

In a sharp departure from earlier trends, the price of U.S. imports from China rose 6 percent in the 2006-08 period. To explore the forces behind this surprising increase, the authors create a new import index that uses highly disaggregated data to track price developments in different product types. The index reveals that the largest price increases were concentrated in industrial supplies— go...

This paper documents a new " stylized fact " regarding commodity prices using alternative datasets covering the period from 1880 to 1996: The volatility of real commodity prices, defined as nominal commodity prices deflated by the manufacturing unit value index, is higher under flexible-exchange rate regimes than fixed-exchange rate regimes. Furthermore, changes in exchange regime are associate...

The contingent claims valuation of physical assets and financial derivatives depends critically on the specification and estimation of the stochastic process that describes the price path. Accurate valuation of claims based on competitive electricity prices has proved problematic, as electricity price data are not well represented by traditional commodity price models of Brownian motion. Observ...

In search for general equilibrium in multi-commoditymarkets, price-oriented schemes are normally used. That is, a set of prices (one price for each commodity) is updated until supply meets demand for each commodity. In some cases such an approach is very inef cient, and a resource-oriented scheme can be highly competitive. In a resource-oriented scheme the allocations are updated until the mark...

An expert system is being developed to help assure the quality of data in the Consumer Price Index (CPI). The system replicates the reasoning of Commodity Analysts determining if a substitute product is comparable to a product priced in the previous month. If comparable, its price can be considered in producing the CPI. The system reasons with expertise directly entered by Commodity Analysts. T...

and Applied Analysis 3 3. Equilibrium Model We consider a marketplace consisting of two types of agents: n consumers, indexed by a, and m producers, indexed by b. We denote with A = {1, . . . , n}, B = {1, . . . , m}, and J = {1, . . . , l}, respectively, sets of consumers, producers, and goods. We denote by e a and x a the nonnegative quantities of commodity j, respectively, owned and consumed...

The price of crude oil in the U.S. never exceeded $40 per barrel until mid-2004. By 2006 it reached $70, and in July 2008 it peaked at $145. By late 2008 it had plummeted to about $30 before increasing to $110 in 2011. Are speculators at least partly to blame for these sharp price changes? We clarify the effects of speculators on commodity prices. We focus on crude oil, but our approach can be ...