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Dissertations / Theses on the topic 'Commodity price dynamics'

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Published: 11 March 2023

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1

Alam, Md Rafayet. "MACROECONOMIC ASPECTS OF COMMODITY PRICE DYNAMICS." OpenSIUC, 2016. https://opensiuc.lib.siu.edu/dissertations/1175.

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Fluctuation in commodity prices is a significant and timely issue to be studied. My first chapter examines the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The major contributions of this study are twofold. First, unlike other studies that use indexes, this study analyzes the commodities individually, affording the inclusion of commodity-specific fundamentals such as the level of inventory -- an important determinant of commodity price -- in a structural VAR framework. Second, it exploits a rich dataset of agricultural commodity pr

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2

Zhou, Feng. "Nonparametric Analysis of Commodity Futures Price Dynamics and Market Risk Measurements." The Ohio State University, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=osu1376578061.

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3

He, Dequan. "MODELING TRANSACTIONS COSTS BAND AND NONLINEAR PRICE DYNAMICS IN FOREST COMMODITY MARKETS." NCSU, 2005. http://www.lib.ncsu.edu/theses/available/etd-07212005-080614/.

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This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can be rejected against the alternative of nonlinearity for both lumber spot and futures prices in U.S. and oriented strand board (OSB) prices across regions in North America. The nonlinearity is identified by a transition variable that governs switching between two regimes: one within the transactions cos

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4

Howell, James Andreas. "An analysis of speculator behavior and the dynamics of price in a futures market." Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/24847.

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5

CASOLI, CHIARA. "The dynamics of commodity prices: common movement and latent factors." Doctoral thesis, Università Politecnica delle Marche, 2020. http://hdl.handle.net/11566/274073.

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Questa tesi analizza prezzi di diverse tipologie di commodities, con lo scopo di capire se esiste un movimento comune tra le varie serie, e se questo è il risultato di determinanti comuni di breve periodo o deriva da delle dinamiche condivise di lungo periodo. Il lavoro è organizzato in tre capitoli. Il primo introduce l’argomento del movimento comune, focalizzandosi anche in una rassegna della letteratura sulle dinamiche dei prezzi delle commodities e proponendo un’analisi univariata di 38 serie storiche mensili di prezzi spot del database dell’IMF. Il secondo capitolo propone un modello in t

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6

Otunuga, Olusegun Michael. "Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes." Scholar Commons, 2014. https://scholarcommons.usf.edu/etd/5289.

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Supply and demand in the World oil market are balanced through responses to price movement with considerable complexity in the evolution of underlying supply-demand expectation process. In order to be able to understand the price balancing process, it is important to know the economic forces and the behavior of energy commodity spot price processes. The relationship between the different energy sources and its utility together with uncertainty also play a role in many important energy issues. The qualitative and quantitative behavior of energy commodities in which the trend in price of one com

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7

CIOCIOLA, GIUSEPPE. "Dynamics of Commodity Prices. A Potential Function Approach with Numerical Implementation." Doctoral thesis, Università degli studi di Bergamo, 2013. http://hdl.handle.net/10446/28630.

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In the present analysis a nonlinear model is discussed in order to capture the presence of several forces acting in commodity markets and the difficulty to disentangle their relative price impacts. Global commodity markets have experienced significant price swings in recent years. Analysts offer two explanations: market forces and speculative expectations, not mutually exclusive. Commodity prices seem to indicate that various factors are acting in a very complex way. We start from one specific feature: price clustering phenomenon, which is the tendency to concentrate in a number of attraction

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8

Coulon, Michael. "Modelling price dynamics through fundamental relationships in electricity and other energy markets." Thesis, University of Oxford, 2009. http://ora.ox.ac.uk/objects/uuid:ddc11641-920f-461f-85cd-a9e6351d9104.

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Energy markets feature a wide range of unusual price behaviour along with a complicated dependence structure between electricity, natural gas, coal and carbon, as well as other variables. We approach this broad modelling challenge by firstly developing a structural framework to modelling spot electricity prices, through an analysis of the underlying supply and demand factors which drive power prices, and the relationship between them. We propose a stochastic model for fuel prices, power demand and generation capacity availability, as well as a parametric form for the bid stack function which m

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9

Cremaschi, Damien. "Prix des matières premières dans le domaine automobile : une analyse économétrique de la dynamique du prix des plastiques." Thesis, Paris 9, 2012. http://www.theses.fr/2012PA090060.

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Le secteur automobile est de plus en plus dépendant aux matières plastiques dont le niveau et la volatilité des prix ont fortement augmenté au cours des dix dernières années, sous l’effet supposé des variations du prix du pétrole qui est le principal input nécessaire à leur fabrication. La thèse vise à fournir des outils économétriques permettant d’analyser et gérer le risque de variations des prix des principales matières plastiques utilisées dans l’industrie automobile. À l’aide des méthodologies de cointégration, nous montrons que les relations d’équilibre de long terme et les dynamiques de

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10

Antonakakis, Nikolaos, and Renatas Kizys. "Dynamic Spillovers between Commodity and Currency Markets." Elsevier, 2015. http://dx.doi.org/10.1016/j.irfa.2015.01.016.

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In this study, we examine the dynamic link between returns and volatility of commodities and currency markets. Based on weekly data over the period from January 6, 1987 to July 22, 2014, we find the following empirical regularities. First, our results suggest that the information contents of gold, silver, platinum, and the CHF/USD and GBP/USD exchange rates can help improve forecast accuracy of returns and volatilities of palladium, crude oil and the EUR/CHF and GBP/USD exchange rates. Second, gold (CHF/USD) is the dominant commodity (currency) transmitter of return and volatility spillovers t

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11

Lewin, Natasha Gaertner. "O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11812.

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Submitted by Natasha Lewin (natgaertner@hotmail.com) on 2014-05-21T13:47:19Z No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5)<br>Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2014-05-28T20:14:42Z (GMT) No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5)<br>Made available in DSpace on 2014-06-02T20:29:12Z (GMT). No. of bitstreams: 1 Dissertação_Natasha_Gaertner.pdf: 1016109 bytes, checksum: 3be3ae578302aaf3f6975eea7891ef1a (MD5)

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12

Mbara, Gilbert. "Commodity price dynamics through time scales." Doctoral thesis, 2020. https://depotuw.ceon.pl/handle/item/3671.

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Introduction Commodity markets are distinct from other product markets due to the existence of forward sales and futures contracts. Forward selling and the trading of a commodity derivative implies prices are subject to the influence of economic agents who are not directly engaged in consumption or production of the commodity. As a result, even when the forces of supply and demand are in equilibrium, prices may still move and vary purely due to activities of agents operating in the futures markets. Inspired by this observation, the dissertation provides a new analysis of the role of futures ma

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Wang, Chih-Wei. "Commodity price dynamics evidence and theory /." Diss., 2008. http://etd.library.vanderbilt.edu/ETD-db/available/etd-10082008-232501/.

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14

Guo, Kevin. "Price Dynamics & Trading Strategies in the Commodities Market." Thesis, 2018. https://doi.org/10.7916/D8TJ04JT.

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This thesis makes new observations of market phenomena for various commodities and trading strategies centered around these observations. In particular, our results imply that many aspects of the commodities markets, from delivery markets to producers and consumer derivative based ETFs can be modeled eectively using nancial engineering techniques. Chapter 2 examines what drives the returns of gold miner stocks and ETFs. Inspired by our real options model, we construct a method to dynamically replicate gold miner stocks using two factors: a spot gold ETF and a market equity portfolio. We

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15

Chen, Yi-shin, and 陳怡欣. "Subsidy / Tax Policy Announcement and Commodity Price Dynamics under Floating Exchange Rates." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/98941941437870544941.

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16

Liu, Hui-Yu, and 劉慧玉. "Anticipated Exchange Rate Shocks and Commodity Price Dynamics under Fixed Exchange Rates Regime." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/96554624206236626809.

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17

Chen, Ya-Ting, and 陳雅婷. "Subsidy / Tax Policy Announcement and Commodity Price Dynamics under Fixed Exchange Rate Regime." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/31607149478660643642.

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18

Lee, Ming-Cheng, and 李明政. "The Study of the Dynamics Relationship About the EU Greenhouse Gas Emissions Index Futures and the International Energy Commodity Index Futures Price." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/51908456044684995849.

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19

"Inventories and the short-run dynamics of commodity prices." Alfred P. Sloan School of Management, Massachusetts Institute of Technology, 1990. http://hdl.handle.net/1721.1/2297.

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by Robert S. Pindyck.<br>"March 1990."<br>Includes bibliographical references (p. 26-30).<br>Supported by M.I.T.'s Center for Energy Policy Research. Supported by the National Science Foundation. SES-8618502

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20

Min-Hsuan, Hsu, and 徐敏軒. "A study on the dynamic relationship between oil price, exchange rate and commodity price." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/pr5dq4.

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碩士<br>國立高雄應用科技大學<br>金融系金融資訊碩士班<br>103<br>The aim of this paper is to examine the dynamic linkages among oil price, US dollar exchange rate index and commodity prices, using recursive cointegration analysis over the period from January 1980 to May 2014. The empirical evidence is as the following: First, the empirical results of recursive cointegration confirm there are cointegration relationships among the three precious metals and oil price, US dollar exchange rate. Second, the recursive cointegration' result of the multi-variable model for precious metal shows that there is a cointegration ve

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21

Lin, Yin-Chih, and 林英志. "Research on the Commodity Price Forecast of Dynamic Random Access Memory." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/27919112666554140236.

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碩士<br>輔仁大學<br>應用統計學研究所<br>98<br>DRAM industry in Taiwan has big scale of capacity. It benefits greatly with high profit from scale economy when economic climate is boomy, but it pays relative high costs for its considerable capacity when encountering economic recession. That makes DRAM makers suffer from high pressure of loss. Under attached by global financial tsunami of 2009, they asked for stimulate package from government. When looking back the DRAM industrial development of Taiwan, you can find it comes along with similar difficulties when facing recession. This industry in Taiwan pu

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22

Rabbi, Fazle. "Dynamic interactions between commodity prices and Australian macroeconomic variables." Thesis, 2017. http://hdl.handle.net/1959.7/uws:49557.

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Price swings of commodities affect the economies of commodity exporting nations worldwide and these fluctuations are a major concern for Australian policy makers. Australia is one of the major commodity exporting countries in the global market; therefore, the main focus of this thesis was to shed light on the influence of various fundamental macroeconomic variables on Australian commodity prices. First, emphasis was placed on what magnitude changes in real interest rates and fluctuations of the real exchange rate account for volatility in commodity prices and whether commodity prices te

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23

Emily, Yu-Wen, and 林郁文. "The Dynamic Linkages Among VIX, Commodity Price, Currency Index, and Stock Price-The Studies of BRIC." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/80288983988203840253.

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碩士<br>銘傳大學<br>經濟學系碩士在職專班<br>98<br>Observing certain research leading indicators is to facilitate investors in making decision on judging behaviors. Meanwhile, it is aimed to provide professional institutes unique perspectives, based on the practical analytical results, toward the influences among VIX, DXY, ADXY, crude price, gold price, and BRIC stock markets. At last, the major purpose is to assist investors to avoid from tumbling, which it might cost them a fortune again. This paper investigates the relation among commodity price, crude price or gold price, and VIX with BRIC stock price r

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24

Chen, Shan. "Modelling the dynamics of commodity prices for investment decisions under uncertainty." Thesis, 2010. http://hdl.handle.net/10012/5504.

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This thesis consists of three essays on commodity-linked investment decisions under uncertainty. Specifically, the first essay investigates whether a regime switching model of stochastic lumber prices is a better model for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two regimes characterized by a different mean reverting process. A single regime, mean reverting process is also calibrated. The value of a representative stand of trees and optimal ha

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25

CHEN, CHIN-FENG, and 陳金鳳. "Temporary Monetary Policy Announcements and the Dynamics Adjustment of the Commodity Prices." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/04896433411212176726.

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26

Hung, Li-Hsuan, and 洪儷瑄. "Agricultural Market Disturbances and the Dynamic Adjustment of the Commodity Prices." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/43551891694850556616.

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27

Venkata, Lakshmipathi Raju CH. "Learning Dynamic Prices In Electronic Markets." Thesis, 2004. http://hdl.handle.net/2005/1132.

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28

Hsu, Ching-Hsung, and 許清雄. "A Study on Price Dynamic Correlation among Indexes of CRB and Major Commodity Futures." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/72654018511582600402.

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碩士<br>國立中興大學<br>應用經濟學系所<br>95<br>Abstract The main concern of this study is to analyze the price dynamic correlation degree among Indexes of CRB and major Commodity Futures contracts. The data period was based on daily records from July 31st, 2003 to August 1st, 2006. Several approaches were applied which included the Johansen Co-integration method, the vector error correction (VEC) model, the Granger causality test, the decomposition of the predictive error variance, and impulse response function to explore the temporal relationship of the CRB index with respect to the energy and the metals f

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饒奇昌. "The Dynamic Adjustment of Tourism Policy Announcement on Tourism Commodity Price and Exchange Rate." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/13399160544800744817.

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30

Li, Chien-Te, and 李建德. "Regime Switch and the Dynamic Adjustment of the Commodity Price-An Analysis of Small Open Economy." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/82080316694798187496.

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31

Hong, Wei-Sheng, and 洪偉盛. "The Impact of Price Regime Collapse and Speculation Degree of Speculator on the Dynamic Path of Spot Exchange Rate and Forward Exchange Rate – An Example of Commodity Market Stochastic Shock." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/wa8t2v.

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碩士<br>東海大學<br>經濟系<br>102<br>This paper constructs a open economy general equilibrium macroeconomic model is characterized by the Dornbusch (1976) exchange rate dynamic adjustment model and Eaton and Turnovsky (1982‚1984)‚Lai (2006) open economy forward foreign exchange market model. We use the “implicit function technique” of first generation regime collapsing‚ which is offered by Chang and Lai (1990) to analyze if the monetary authority tend to curb the rising price level through the tight monetary policy which the economy is facing a beneficial shock on the demand side of the commodity marke

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