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After briefly reviewing the problems caused by commodity price instability, the authors develop a mathematical model for commodity markets. The implications of this model for intervention and the welfare effects are then considered. A fully developed model of the world copper market is usedto investigate alternative buffer stock intervention rules in order to assess the scope and limitations of such stabilization strategies.
After briefly reviewing the problems caused by commodity price instability, the authors develop a mathematical model for commodity markets. The implications of this model for intervention and the welfare effects are then considered. A fully developed model of the world copper market is usedto investigate alternative buffer stock intervention rules in order to assess the scope and limitations of such stabilization strategies.
The recent global financial crisis exposed the serious limitations of existing economic and financial models. Not only did macro models fail to predict the crisis, they seemed incapable of explaining what was happening to the economy. Policymakers felt abandoned by the conventional tools of the now obsolete Washington consensus and the World Trade Organization’s oversimplified faith in free markets.The traditional models for agricultural commodities have so far failed to take into account the uncertain character of the global agricultural economy and its ferocious consequences in food price volatility, the worst in 300 years, yielding hunger riots throughout the world. This book explores the elements which could help to close this fundamental modeling gap. To what extent should traditional models be questioned regarding agricultural commodities? Are prices on these markets foreseeable? Can their evolution be either predicted or convincingly simulated, and if so, by which methods and models? Presenting contributions from acknowledged experts from several countries and backgrounds – professors at major international universities or researchers within specialized international organizations – the book concentrates on four issues: the role of expectations and capacity of prediction; policy issues related to development strategies and food security; the role of hoarding and speculation and finally, global modeling methods. The book offers a renewed wisdom on some of the core issues in the world economy today and puts forward important innovations in analyzing these core issues, among which the modular modeling design, the Momagri model being a seminal example of it. Reading this book should inspire fruitful revisions in policy-making to improve the welfare of populations worldwide.
Louis Phlips The stabilisation of primary commodity prices, and the related issue of the stabilisation of export earnings of developing countries, have traditionally been studied without reference to the futures markets (that exist or could exist) for these commodities. These futures markets have in turn been s~udied in isolation. The same is true for the new developments on financial markets. Over the last few years, in particular sine the 1985 tin crisis and the October 1987 stock exchange crisis, it has become evident that there are inter actions between commodity, futures, and financial markets and that these inter actions are very important. The more so as trade on futures and financial markets has shown a spectacular increase. This volume brings together a number of recent and unpublished papers on these interactions by leading specialists (and their students). A first set of papers examines how the use of futures markets could help stabilising export earnings of developing countries and how this compares to the rather unsuccessful UNCTAD type interventions via buffer stocks, pegged prices and cartels. A second set of papers faces the fact, largely ignored in the literature, that commodity prices are determined in foreign currencies, with the result that developing countries suffer from the volatility of exchange rates of these currencies (even in cases where commodity prices are relatively stable). Financial markets are thus explicitly linked to futures and commodity markets.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.
Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.
Fundamentals: supply and demand under risk; Market equilibrium; Price stabilization with no supply response; Supply responses to stabilization; Microeconomic repercussions; Economic considerations.
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.