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Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior

ISBN: 978-0-470-31723-5
298 pages
October 2008
Commodity Modeling and Pricing: Methods for Analyzing Resource Market Behavior (047031723X) cover image
Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
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Preface ix

Acknowledgments xi

PART ONE Dynamics of Commodity Price Behavior 1

CHAPTER 1 Indirect Inference and Long Memory: A New Truncated-Series Estimation Method
Armand Sadler, Jean-Baptiste Lesourd, and Velayoudom Marimoutou 3

CHAPTER 2 Procyclicality of Primary Commodity Prices: A Stylized Fact?
A. Behrooz Afrasiabi 30

CHAPTER 3 Nonlinear Features of Comovements between Commodity Prices and Inflation
Catherine Kyrtsou 52

CHAPTER 4 The Oil Price and the Dollar Reconsidered
Sadek Melhem and Michel Terraza 65

PART TWO Inventory Dynamics and Price Behavior 77

CHAPTER 5 Time-Varying Ratios of Primary and Scrap Metal Prices: Importance of Inventories
Irene M. Xiarchos 79

CHAPTER 6 Metal Prices and the Supply of Storage
Paul Crompton and Irene M. Xiarchos 103

CHAPTER 7 Testing for Temporal Asymmetry in the Metal Price-Stock Relationship
Eugene Kouassi 118

CHAPTER 8 Do Fluctuations in Wine Stocks Affect Wine Prices?
James O. Bukenya 136

PART THREE Dynamics of Resource Markets 167

CHAPTER 9 Dynamic Quadratic Programming in Process Control
Bruce A. Bancroft 169

CHAPTER 10 Pollution Taxes and Price Control in the US Coal Market: A Rent Minimization Model
Chin W. Yang and Ming-Jeng Hwang 176

CHAPTER 11 A Forecasting Simulation of Coal in Indonesia's Energy Future
Ukar W. Soelistijo 185

CHAPTER 12 Structural Decomposition Analysis of Changes in Material Demand in the U.S. Economy
Adam Rose and Chia-Yon Chen 195

PART FOUR Environmental Resource Dynamics 209

CHAPTER 13 Linking Trade and the Environment in China
Haixiao Huang 211

CHAPTER 14 Critical Needs in China's Water Resources
Andres Liebenthal 229

CHAPTER 15 Public Input in Rural Land Preservation: Modeling Preference Asymmetries in Stated Preference Data
Robert J. Johnston and Kelly Giraud Cullen 247

CHAPTER 16 African Women in Mining Partnerships
Brigitte Bocoum 267

EPILOGUE Conclusions and Perspective
Walter C. Labys 279

List of Contributors 289

Index 295

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Peter Schaeffer is Professor of Economic Policy at West Virginia University and served as a director of the Division of Resource Management, which includes the Division of Agricultural and Resource Economics, from 1993 to 2006. He was a visiting professor of regional and environmental economics at the Swiss Federal Institute of Technology, Zurich, and a visiting scholar at the International Labour Organization in Geneva.
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