â â â  â â â  abstract â  using a structural var with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, u.s. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity grou...

In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...

Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block ...

This research presents the Enhanced Commodity Forward Buy (ECFB) heuristic, a new method for commodity purchasing, which allows strategic forward buying of commodities for products that include commodity components or materials. The Enhanced Commodity Forward Buy addresses limitations of existing methods by considering stochastic demand and stochastic commodity prices for products that contain ...

In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike Duan and Pliska (2004), the linear relations among commodity prices, or the error correction term, sh...