Predicting Agri-Commodity Prices

《Predicting Agri-Commodity Prices》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、PREDICTINGAGRI-COMMODITYPRICES:ANASSETPRICINGAPPROACHYu-chinChenKennethS.Rogo¤BarbaraRossi(UniversityofWashington)(HarvardUniversity)(DukeUniversity)May2010Abstract.Volatileandrisingagriculturalpricesputsigni…cantstrainontheglobal…ghtagainstpoverty.Anaccuratereadingoffuturefoodpricemovem

2、entscanbeaninvaluablebudgetaryplanningtoolforvariousgovernmentagenciesandfoodaidprograms.Usingtheasset-pricingapproachdevelopedinChen,Rogo¤andRossi(2010),weshowthatinformationfromthecurrencyandequitymarketsofseveralcommodity-exportingeconomiescanhelpforecastworldagriculturalprices.Ourfor

3、mulationbuildsuponthenotionthatbecausethesecountries’currencyandequityvaluationsdependontheworldpriceoftheircommodityexports,marketparticipantswouldpriceexpectedfuturecommoditypricemovementsintothecurrentvaluesoftheseassets.Becausetheforeignexchangeandequitymarketsaretypicallymuchmore‡ui

4、dthantheagri-commoditymarkets(wherepricestendtobemoreconstrainedbycurrentsupplyanddemandconditions),theseassetpricescansignalfutureagriculturalpricedynamicsbeyondinformationcontainedintheagri-commoditypricesthemselves.Our…ndingscomplementforecastmethodsbasedonstructuralfactorssuchassuppl

5、y,demand,andstorageconsiderations.J.E.L.Codes:C52,C53,F31,F47.Keywords:commodityprices,exchangerates,equityprices,forecastingAcknowledgements.Theauthorswouldliketothankparticipantsatthe"UncertaintyandPriceVolatilityofAgriculturalCommodities"conferenceforusefulinsights,andElsKinableandKel

6、vinWongforexcellentresearchassistance.21.IntroductionThelargecommoditypricesurgeand‡uctuationssinceearly2000havegeneratedsigni…cantdis-cussionsonthecausesandappropriatepolicyresponsestothem,atboththenationalandinter-nationallevels.1Properlygaugingagri-commoditypricemovementsiscrucialfori

7、n‡ationcontrolandproductionplanning.Itisespeciallyrelevanttodevelopingcountriesfortheadditionalrea-sonofpovertyalleviation.Notonlydomanydevelopingeconomiesrelyheavilyoncommodityproductionsforgrowthandexport,governmentsoftendistributefoodgrainsatsubsidizedpricestohelpcomba