Hostname: page-component-78c5997874-v9fdk Total loading time: 0 Render date: 2024-11-08T08:14:27.141Z Has data issue: false hasContentIssue false
  • English
  • Français

Commodity Prices Revisited

Published online by Cambridge University Press:  15 September 2016

William G. Tomek
William G. Tomek*
Affiliation:
Agricultural economics, emeritus at Cornell University
Get access

Abstract

Empirical models of commodity prices are potentially important aids to decision-makers, especially as the economy has grown more complex. A typical time series of commodity prices exhibits positive autocorrelation, occasional spikes, and random variability, and conceptual models have been developed to explain this behavior. But, the leap from theory to empirical applications is large because of model specification and data quality problems. When modeling price expectations, for example, should a price series be deflated and if so, by what deflator? The choice can have a large effect on empirical results. Nonetheless, it is possible in some applications to obtain relatively stable estimates of structural parameters that are useful for addressing specific problems. This may not happen often, however, because the incentives in academia do not encourage rigorous, in-depth appraisals of empirical results.

Type
Invited Presentations
Information
Agricultural and Resource Economics Review , Volume 29 , Issue 2 , October 2000 , pp. 125 - 137
Copyright
Copyright © 2000 Northeastern Agricultural and Resource Economics Association 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Alston, J.M., and Chalfant, J.A. 1991. “Can We Take the Con Out of Meat Demand Studies?” Western Journal of Agricultural Economics (now the Journal of Agricultural and Resource Economics) 16: 36–45.Google Scholar
Alston, J.M., and Chalfant, J.A. 1993. “The Silence of the Lambdas: A Test of the Almost Ideal and Rotterdam Models.” American Journal of Agricultural Economics 75: 304–313.Google Scholar
Andrews, M.S., and Rausser, G.C. 1986. “Some Political Economy Aspects of Macroeconomic Linkages with Agriculture.” American Journal of Agricultural Economics 68: 413–417.Google Scholar
Antle, J.M. 1999. “The New Economics of Agriculture.” American Journal of Agricultural Economics 81: 993–1010.CrossRefGoogle Scholar
Antonovitz, F., and Green, R. 1990. “Alternative Estimates of Fed Beef Supply Response to Risk.” American Journal of Agricultural Economics 72: 475–487.Google Scholar
Brennan, M.J. 1958. “The Supply of Storage.” American Economic Review 48: 50–82.Google Scholar
Brorsen, B.W., and Irwin, S.H. 1996. “Improving the Relevance of Research on Price Forecasting and Marketing Strategies.” Agricultural and Resource Economics Review 25: 68–75.Google Scholar
Chambers, M.J., and Bailey, R.E. 1996. “A Theory of Commodity Price Fluctuations.” Journal of Political Economy 104: 924–957.Google Scholar
Chavas, J-P. 1999. “On the Economic Rationality of Market Participants: The Case of Expectations in the U.S. Pork Market.” Journal of Agricultural and Resource Economics 24: 19–37.Google Scholar
Chung, C., and Kaiser, H.M. 1999. “Distribution of Gains from Research and Promotion in Multistage Production Systems: Comment.” American Journal of Agricultural Economics 81: 593–597.Google Scholar
Cochrane, W.W. 1955. “Conceptualizing the Supply Relation in Agriculture.” Journal of Farm Economics (now the American Journal of Agricultural Economics) 37: 1161–1176.Google Scholar
Cochrane, W.W. 1958. Farm Prices: Myth and Reality. Minneapolis: University of Minnesota Press.Google Scholar
Davis, L.G. 1997. “The Logic of Testing Structural Change in Meat Demand: A Methodological Analysis and Appraisal.” American Journal of Agricultural Economics 79: 1186–1192.Google Scholar
Deaton, A. 1999. “Commodity Prices and Growth in Africa.” Journal of Economic Perspectives 13: 23–40.Google Scholar
Laroque, G. 1992. “On the Behavior of Commodity Prices.” Review of Economic Studies 59: 1–23.Google Scholar
Gardner, B.L. 1976. “Futures Prices in Supply Analysis.” American Journal of Agricultural Economics 58: 81–84.Google Scholar
Harvey, A.C. 1993. Time Series Models, 2d. ed. Cambridge, MA: The MIT Press. Google Scholar
Johnson, D.G. 1950. “The Nature of the Supply Function for Agricultural Products.” American Economic Review 40: 539–564.Google Scholar
2000. “Population, Food, and Knowledge.” American Economic Review 90: 1–14.Google Scholar
Just, R.E. 1993. “Discovering Production and Supply Relationships: Present Status and Future Opportunities.” Review of Marketing and Agricultural Economics 61: 11–40.Google Scholar
Kaldor, N. 1939. “Speculation and Economic Stability.” Review of Economic Studies 7: 1–27.Google Scholar
McGuirk, A.M., Driscoll, P., and Alwang, J. 1993. “Misspecification Testing: A Comprehensive Approach.” American Journal of Agricultural Economics 75: 1044–1055.Google Scholar
Driscoll, P. 1995. “The Hot Air in R2 and Consistent Measures of Explained Variation.” American Journal of Agricultural Economics 77: 319–328.Google Scholar
McNew, K. 1996. “Spatial Market Integration: Definition, Theory, and Evidence.” Agricultural and Resource Economics Review 25: 1–11.Google Scholar
Myers, R.J. 1994. “Time Series Econometrics and Commodity Price Analysis: A Review.” Review of Marketing and Agricultural Economics 62: 167–181.Google Scholar
Peterson, H.H. Forthcoming. Commodity Price Behavior and Its Implications for Agricultural Risk Management. Ph.D. Dissertation, Cornell University.Google Scholar
Tomek, W.G. 2000. “Implications of Deflating Commodity Prices for Time-Series Analysis.” Paper presented at the NCR-134 conference, Chicago. April.Google Scholar
Rosen, S. 1987. “Dynamic Animal Agriculture.” American Journal of Agricultural Economics 69: 547–557.Google Scholar
Rui, X., and Miranda, M.J. 1995. “Commodity Storage and Interseasonal Price Dynamics.” In NCR-134 Conference Proceedings: 44–53.Google Scholar
Spanos, A. 1995. “On Theory Testing in Econometrics: Modeling with Nonexperimental Data.” Journal of Econometrics 67: 189–226.Google Scholar
McGuirk, A.M. 2000. “The Problem of Near-multicollinearity Revisited: Erratic vs. Systematic Volatility.” Virginia Tech, Department of Economics, Blacksburg, VA. Revised: April: 26 pages.Google Scholar
Tauer, L.W. 2000. Investment Analysis in Agriculture. Cornell University, Department of Agricultural, Resource, and Managerial Economics Staff Paper 2000-03, April.Google Scholar
Tomek, W.G. 1993. “Confirmation and Replication in Empirical Econometrics: A Step Toward Improved Scholarship.” American Journal of Agricultural Economics 75 (75th anniversary issue, October):6–14.Google Scholar
Deaton, A. 1994. “Economic Forecasting in Agriculture: Comment.” International Journal of Forecasting 10: 143–145.Google Scholar
Deaton, A. 1997a. Structural Econometric Models: Past and Future (with Special Reference to Agricultural Economics Applications). Havlicek Memorial Lecture, Department of Agricultural Economics, Ohio State University.Google Scholar
Deaton, A. 1997b. “Commodity Futures Prices as Forecasts.” Review of Agricultural Economics 19: 34–44.Google Scholar
Robinson, K.L. 1972. Agricultural Product Prices. Ithaca, NY: Cornell University Press (3d ed. 1990).Google Scholar
Myers, R.J. 1993. “Empirical Analysis of Agricultural Commodity Prices: A Viewpoint.” North Central Journal of Agricultural Economics (now the Review of Agricultural Economics) 15: 181–202.Google Scholar
Tronstad, R. and McNeill, T.J. 1989. “Asymmetric Price Risk: An Econometric Analysis of Aggregate Sow Farrowings.” American Journal of Agricultural Economics 71: 630–637.Google Scholar
Tweeten, L. 1998. “Anticipating a Tighter Global Food Supply-Demand Balance in the Twenty-first Century.” Choices, The Magazine of Food, Farm, and Resource Issues, Third Quarter. 4–7.Google Scholar
Warren, G.F., and Pearson, F.A., 1928. Interrelationships of Supply and Price. Cornell University Agricultural Experiment Station Bulletin 466.Google Scholar
Waugh, F.V. 1964. “Cobweb Models.” Journal of Farm Economics (now the American Journal of Agricultural Economics) 46: 732–750.Google Scholar
Williams, J.C., and Wright, B.D. 1991. Storage and Commodity Markets. Cambridge: Cambridge University Press.Google Scholar
Working, H. 1949. “The Theory of Price of Storage.” American Economic Review 39: 1254–1262.Google Scholar
Deaton, A. 1960. “Note on the Correlation of First Differences of Average in a Random Chain.” Econometrica 28: 916–918.Google Scholar
Yang, S-R., and Brorsen, B.W. 1992. “Nonlinear Dynamics of Daily Cash Prices.” American Journal of Agricultural Economics 74: 706–715.Google Scholar