Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach
| العنوان: | Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach |
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| المؤلفون: | Jesus Crespo Cuaresma, Jaroslava Hlouskova, Michael Obersteiner |
| المصدر: | Journal of Forecasting. 40:1245-1273 |
| بيانات النشر: | Wiley, 2021. |
| سنة النشر: | 2021 |
| مصطلحات موضوعية: | Heteroscedasticity, 050208 finance, Strategy and Management, Autoregressive conditional heteroskedasticity, 05 social sciences, Univariate, Management Science and Operations Research, Computer Science Applications, Exchange rate, Autoregressive model, Frequentist inference, Modeling and Simulation, 0502 economics and business, Econometrics, Business cycle, Economics, 050207 economics, Statistics, Probability and Uncertainty, Commodity (Marxism), commodity prices, forecast averaging, forecasting, model uncertainty, vector autoregressive models |
| الوصف: | We present a comprehensive modelling framework aimed at quantifying the response of agricultural commodity prices to changes in their potential determinants. The problem of model uncertainty is assessed explicitly by concentrating on specification selection based on the quality of short-term out-of-sample forecasts (1 to 12 months ahead) for the price of wheat, soybeans and corn. Univariate and multivariate autoregressive models (autoregressive [AR], vector autoregressive [VAR] and vector error correction [VEC] specifications, estimated using frequentist and Bayesian methods), specifications with heteroskedastic errors (AR conditional heteroskedastic [ARCH] and generalized AR conditional heteroskedastic [GARCH] models) and combinations of these are entertained, including information about market fundamentals, macroeconomic and financial developments, and climatic variables. In addition, we assess potential non-linearities in the commodity price dynamics along the business cycle. Our results indicate that variables measuring market fundamentals and macroeconomic developments (and, to a lesser extent, financial developments) contain systematic predictive information for out-of-sample forecasting of commodity prices and that agricultural commodity prices react robustly to shocks in international competitiveness, as measured by changes in the real exchange rate. |
| وصف الملف: | text |
| تدمد: | 1099-131X 0277-6693 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b14caff0dfe166649922ce0de276d3a3Test https://doi.org/10.1002/for.2768Test |
| حقوق: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....b14caff0dfe166649922ce0de276d3a3 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 1099131X 02776693 |
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