The aim of this study is to test the ability yield curve on US government bonds forecast future evolution in prices commodities often used as raw materials. We consider monthly nine for more than 30 years. Our findings, confirmed by several parametric and non-parametric tests, are robust indicate that performance changes over time. Specifically, between 1986 early 2000s was quite successful for...

Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investorsʼ positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger-causality testing, find no relationship commodity prices. We examine effects shocks common stochastic trends in positions, spot fu...

This research develops the appropriate formula to determine insurance premiums on agricultural commodity prices that provide coverage policyholders for losses caused by falling prices. The price component is assumed follow Brownian Geometric motion in determining So, through Ito process, a target can be selected and used as reference whether claim made or not at harvest time. approach of Black-...

Developing models to analyze time series is a very sophisticated, time-consuming, but interesting experience for researchers. Commodity price component determination challenging due remarkable volatility, uncertainty, and complexity in the futures market. This study aims determine components that drive market of commodity futures. utilized decomposition methods, empirical mode (EMD), variationa...

The unifying theme of the conference has been that the inflationary effects associated with changes in commodity prices depend on the more fundamental shocks that drive commodity prices. Moreover, since changes in prices of oil and other commodities are relative price shocks they do not cause inflation. In contrast, central banks can cause inflation and they respond to real shocks, so it is nec...

The past years were characterized by unprecedented rises in prices of commodities such as oil or wheat and infl ation rates moved up above the mark of two percent per annum. This led to a revival of the debate whether commodity prices indicate future CPI infl ation and if they can be used as indicator variables for central banks or not. We apply various econometric methods like Granger causalit...

Gathering up-to-date information on food prices is critical in developing regions, as it allows policymakers and development practitioners to rely on accurate data on food security. This study explores the feasibility of utilizing social media as a new data source for predicting food security landscape in developing countries. Through a case study of Indonesia, we developed a nowcast model that...