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.

PETER SCHAEFFER is Professor of Economic Policy at West Virginia University and served as a director of the Division of Resource Management, which includes the Division of Agricultural and Resource Economics, from 1993 to 2006. He was a visiting professor of regional and environmental economics at the Swiss Federal Institute of Technology, Zurich, and a visiting scholar at the International Labour Organization in Geneva.

Klappentext

How to effectively analyze, model, and forecast today's commodity markets

Resource commodity markets play a central role in economic development, international trade, and global economic and political stability. The onset of globalization and the spectacular growth and industrial development of China, India, and other Southeast Asian countriesalong with an increased use of agricultural commodities for ethanol productionhave significantly added to total resource commodity demands and caused unprecedented price increases. Today, the economic analysis and modeling of world commodity markets is more important than ever before.

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 educationall of whom were Labys's former students or collaborators.

The essays are divided into four parts according to the issues they address. In Part I, the dynamic behavior of commodity prices is analyzed in terms of its nonlinear chaotic and cyclical properties. In Part II, commodity inventory adjustments are then introduced to the price framework. Part III applies innovative modeling methods to the supply and demand aspects of commodity markets as a multivariate equilibrating mechanism. In Part IV, these modeling efforts are expanded beyond direct market phenomena to include the interactions between commodities, other forms of resources, and the environment. The resource commodities studied vary among chapters but, in total, include aluminum, coal, cocoa, coffee, copper, corn/maize, cotton, crude oil, gold, lead, rice, rubber, silver, soybeans, sugar, tea, tin, water, wheat, wine, wool, and zinc.

In recent years, we have rediscovered the severe consequences of resource exhaustion, environmental damage, and market instability. Commodity Modeling and Pricing provides a perspective for future problem solving and research, offering the latest available information on the application of a variety of econometric, programming, and related modeling methods that would help us to analyze, predict, and provide policy to deal with these critical economic and environmental problems.

Inhalt

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