We estimate a model of common and commodity-specific, highand low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into highand low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the p...

Commodity loans are presented as an interpretation of spreads between spot and futures prices in commodity markets. This interpretation suggests an alternative to convenience yield as an explanation for the existence of large positive differences between spot and futures prices that are inconsistent with the usual arbitrage arguments. A model is presented in which an owner of a stock of a commo...

The article discusses the issues of conducting transactions for agricultural products via the Internet between businesses. In particular, it is dedicated to the so-called electronic agricultural commodity marketplaces that are virtual meeting places of buyers and sellers of agricultural commodities. The purpose of this article is an indication of the changes taking place in the agricultural mar...

We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfol...

Related commodity markets have two characteristics: (i) they may be expected to follow similar volatility processes; (ii) such markets are frequently represented by a market aggregate or index. Indices are used to represent the performance and aggregate time series properties of a group of markets. An important issue regarding the time series properties of an index is how the index reflects the...

The article examines whether commodity risk is priced in the cross-section of equity returns. Alongside a long-only equally-weighted portfolio of commodity futures, we employ as an alternative commodity risk factor a term structure portfolio that captures the propensity of commodity futures markets to be backwardated or contangoed. Equity-sorted portfolios with greater sensitivities to the two ...

in this study, the situation of iran, u.s and turkey's pistachio export is investigated. to this purpose, revealed comparative advantage (rca) index is calculated based on agricultural and total economy export, separately, then forecasted by using auto- regressive integrated moving average (arima) approached, for 2008-2013. the results show that considering both commodity baskets, turkey and ir...

This paper examines the connectedness among 12 African equity markets and global commodity, developed markets, paying particular attention to their evolution during COVID-19 pandemic's peak period. We find that whilst connect weakly these levels of improved significantly pandemic. In addition, energy market dominates transmission shocks in system with commodity markets. Regarding French South t...

The previous chapter has presented a brief picture of world agriculture from an international perspective. Decisions on policy are taken generally at a national level, but nations are cennected internationally by trade. This both constrains and enlarges the scope for national action. In this chapter we begin to develop an analytical framework for looking at intercountry interdependence. The foc...

Laboratory experiments of commodity markets have used the Cobweb design to investigate market dynamics. The predicted cycles of the Cobweb theory did not occur. Arango (2006) adds complexity and realism to the Cobweb model and observes stronger fluctuations and autocorrelation. He shows that these fluctuations are quite symmetric and similar to the behaviour observed in one category of markets....