The application of Kalman filtering methods and maximum likelihood parameter estimation to models of commodity prices and futures prices has been considered by several authors. The usual method of finding the maximum likelihood parameter estimates (MLEs) is to numerically maximize the likelihood function. We present, as an alternative to numerical maximization of the likelihood, a filter-based ...

This paper looks at the response of growers and merchants, first to vine disease and high prices, and then to the problems of overproduction and product adulteration. France produced a large range of wines, but by the early twentieth century most commodity chains were failing to provide accurate information for consumers to discriminate between differences in quality. The paper argues that the ...

The modern convex-analytic rendition of the classical welfare theorems characterizes optimal allocations in terms of supporting properties of preferences by nonzero prices. While supporting convex sets in economies with finite dimensional commodity spaces is usually a straightforward application of the separation theorem, it is not that automatic in economies with infinite dimensional commodity...

This paper presents a new theory of value with a personalized pricing system that naturally induces a family of non-linear prices. This affords a coordinate free theory of value in which the analysis is without any lattice theoretic considerations. When commodity bundles are perfectly decomposable the generalized prices become linear and the analysis specializes to the Walrasian model. This hap...

In order to price commodity derivatives, it is necessary to estimate the market prices of risk as well as the functions of the stochastic processes of the factors in the model. However, the estimation of the market prices of risk is an open question in the jump-diffusion derivative literature when a closed-form solution is not known. In this paper, we propose a novel approach for estimating the...

We show how to value a real option on a commodity using an implied binomial tree (IBT) that is calibrated using commodity futures options prices. Until now it has been assumed that spot options are required to be traded on the underlying asset in order to use an IBT; this requirement is, however, typically not met with commodities. We make two major contributions: First, by showing how to imple...

Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...

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 applies an integrated CGE-microsimulation model to analyse the impact of the 2006-08 increase in commodity prices on Uganda. Previous impact analysis studies suggested that the food price shock increased poverty in Uganda as there are more net food buyer than net food seller households. We show that the agriculture commodity price shocks were povertyreducing, but the simultaneous inc...

This paper offers an alternative to the conventional explanation of the 2007-08 food price crisis in terms of escalating demand or dwindling supply. Instead, its focus is on the legalinstitutional structure of commodity futures markets, which has witnessed a drastic alteration in the role of speculators. These have transformed from “market makers” (that keep commodity futures markets liquid by ...