abstract comparative advantage is an economic term which is used to compare potential and actual production capacity of a country in a given commodity with the rest of the world. therefore, researches in this field could have a dual approach. in one hand it could demonstrate country’s production capacity in the production of commodities that are not produced yet and in the other hand it can ill...

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets. Such financialization of commodities coincided with significant booms and busts in commodity markets, raising concerns of policymakers. In this paper, we explore the effects of financialization in a model that features institut...

this study aims to estimate the function of copper consumption using the johansen approach in time series data, between 1991-2011 in iran. the literature review of specialized consumption and demand functions shows factors influencing the consumption of copper including copper price variables, aluminum price as a substitute commodity, oil price as a complementary commodity, and industrializatio...

We examine two important aspects of Australia’s terms of trade using 135 years of annual data up to 2003/04. Since Australia predominantly exports commodities and imports manufactures, the Prebisch-Singer hypothesis suggests that there should be a negative trend in the terms of trade. But the trend is no more than −0.1 per cent per annum, less than the trend decline in world commodity prices re...

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate ...

Market Year Average (MYA) prices enter into payment calculations for Price Loss Coverage (PLC) and Agricultural Risk Coverage (ARC), two commodity program alternatives available in the 2013 Farm Bill (see here for more details). The distribution of MYA prices will influence payment levels under both programs. Hence, quantifying the potential MYA price distributions is important for evaluating c...

In this paper, we present several mean-reversion jump di usion models to describe energy commodity spot prices. We incorporate multiple jumps, regime-switching and stochastic volatility in these models. Prices of various energy commodity derivatives are obtained under each model. We show how the electricity derivatives can be used to evaluate generation and transmission capacity. We also show f...