The paper explores the linkage between equity and commodity markets, focusing in particular on its evolution over time. It documents that a country’s equity market value has significant out-of-sample predictive ability for the future global commodity price index for several primary commodity-exporting countries. The out-of-sample predictive ability of the equity market appears around 2000s. The...

In this paper we show that the exchange rates of some commodity exporter countries have ability to predict price spot and future contracts aluminum. This is shown with both in-sample out-of-sample analyses. The theoretical underpinning these results relies on present-value model for rate determination tight connection between prices currencies countries. We using traditional statistical metrics...

The shape of the futures term structure is essential to commodity hedgers and speculators as prices serve a forecast future spot prices. Commodity markets quotes on selection maturities delivery periods. In this note we investigate Bayesian technique known Kriging build by embedding trends seasonalities ensuring no-arbitrage conditions between different

This paper presents a theoretical view of imperfect market. It concludes that an increase in the price of products does not give any incentive to increasing production which shows the mechanism for upward trends in prices.

We assess the impact of the opium trade on the economies of colonial Malaya, Netherlands Indies, and China from 1873 to 1911 using a new database of stock and commodity prices, plus measures of government revenues, commodity exports, and immigration. Stock returns for a few Malayan industries related to international trade are significantly correlated with opium price changes, as are prices for...

In this paper, we seek to produce forecasts of commodity price movements that can systematically improve on naïve statistical benchmarks. We revisit how well changes in commodity currencies perform as potential efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a larg...

I discuss the short-run dynamics of commodity prices, production, and inventories, as well as the sources and effects of market volatility. I explain how prices, rates of production, and inventory levels are interrelated, and are determined via equilibrium in two interconnected markets: a cash market for spot purchases and sales of the commodity, and a market for storage. I show how equilibrium...