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基本説明
This book first considers the way in which commodity prices exhibit nonlinear, cyclical, or chaotic fluctuations over time. It then emphasizes how market disequilibrium reflected in inventory adjustments affects this price behaviour.
Full Description
Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education-all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
Contents
Preface ix
Acknowledgments xi
Part One Dynamics of Commodity Price Behavior 1
Chapter 1 Indirect Inference and Long Memory: A New Truncated-Series Estimation Method—Armand Sadler, Jean-Baptiste Lesourd, and Vêlayoudom Marimoutou 3
Chapter 2 Procyclicality of Primary Commodity Prices: A Stylized Fact?— A. Behrooz Afrasiabi 30
Chapter 3 Nonlinear Features of Comovements between Commodity Prices and Inflation—Catherine Kyrtsou 52
Chapter 4 The Oil Price and the Dollar Reconsidered—Sadek Melhem and Michel Terraza 65
Part Two Inventory Dynamics and Price Behavior 77
Chapter 5 Time-Varying Ratios of Primary and Scrap Metal Prices: Importance of Inventories—Irene M. Xiarchos 79
Chapter 6 Metal Prices and the Supply of Storage—Paul Crompton and Irene M. Xiarchos 103
Chapter 7 Testing for Temporal Asymmetry in the Metal Price-Stock Relationship—Eugene Kouassi 118
Chapter 8 Do Fluctuations in Wine Stocks Affect Wine Prices?—James O. Bukenya 136
Part Three Dynamics of Resource Markets 167
Chapter 9 Dynamic Quadratic Programming in Process Control—Bruce A. Bancroft 169
Chapter 10 Pollution Taxes and Price Control in the US Coal Market: A Rent Minimization Model—Chin W. Yang and Ming-Jeng Hwang 176
Chapter 11 A Forecasting Simulation of Coal in Indonesia's Energy Future— Ukar W. Soelistijo 185
Chapter 12 Structural Decomposition Analysis of Changes in Material Demand in the U.S. Economy—Adam Rose and Chia-Yon Chen 195
Part Four Environmental Resource Dynamics 209
Chapter 13 Linking Trade and the Environment in China—Haixiao Huang 211
Chapter 14 Critical Needs in China's Water Resources—Andres Liebenthal 229
Chapter 15 Public Input in Rural Land Preservation: Modeling Preference Asymmetries in Stated Preference Data—Robert J. Johnston and Kelly Giraud Cullen 247
Chapter 16 African Women in Mining Partnerships—Brigitte Bocoum 267
Epilogue Conclusions and Perspective—Walter C. Labys 279
List of Contributors 289
Index 295
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