1st Edition

Modeling and Forecasting Primary Commodity Prices

By Walter C. Labys Copyright 2006
264 Pages
by Routledge

264 Pages
by Routledge

264 Pages
by Routledge

Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity... Read more
Contents: Introduction; History of Commodity Price Analysis. Long Run Price Movements: Identifying trends and breaks; Convergence of commodity prices. Medium Run Price Movements: Identifying price cycles; Business cycle impacts. Short Run Price Movements: Color of commodity prices; Wavelet models in the time frequency domain. Price Forecasting: Noisy chaotic dynamics; Structural forecasting models; Prospects for the future; Appendix: resources for future research; Bibliography; Index.

Biography

Professor Walter C. Labys is Benedum Distinguished Scholar in the Agricultural and Resource Economics Program at West Virginia University, USA. He is Gunnar Myrdal Scholar at the United Nations Economics Commission for Europe and has been Faculty Research Associate of the Group on Applied Econometric Research at the University of the Mediterranean (Aix-Marseille) in France. Over the past thirty years, Professor Labys has pioneered in the development and application of econometric methods important for analyzing commodity price behaviour, the modelling of agricultural, mineral and energy markets, and the impact of commodity markets on the stability and growth of surrounding developing economies. He has authored and co-authored more than fourteen books and numerous articles in leading journals of agricultural, energy and resource economics as well as international trade.

’Modern statistical techniques have greatly enlarged the range and complexity of analysis that can be applied to commodity market studies. Labys pioneers by making the leap from traditional structural models to the broad range of advanced time series methods. This is the first and only book on the frontiers of commodity market modeling.’ F. Gerard Adams, University of Pennsylvania, USA