Forecasting the price of wheat and other commodities

Pfaffenzeller, Stephan (2002) Forecasting the price of wheat and other commodities. PhD thesis, University of Nottingham.

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Abstract

The long term behaviour of primary product prices has been a central issue underlying projections of commodity price series. Against the background of the Prebisch Singer Hypothesis, the presence, magnitude and direction of a secular trend in commodity price series have themselves become the subject of a long standing debate.

This study uses the individual commodity price series underlying the Grilli and Yang data set and, where possible, extends these data series up to 1998. Deflating primary commodity prices by the MUV index, the question of trend components in the time series is studied considering evidence from univariate models and allowing for trend stationary or integrated data series with drift. In this context the impact of serial correlation in finite samples and the impact of wrongly modelling a data series as integrated are considered in detail. Further evidence from a trend test developed by Vogelsang (1998) is also taken into account.

In selecting forecast models, the usefulness of unit root pre-testing is assessed allowing for interdependence between the inferred order of integration and the significance of the trend or drift coefficient estimate obtained. Projections from univariate models are obtained for a ten year horizon and Beveridge-Nelson trend cycle decompositions are computed to assess the importance of volatility surrounding the forecasts. It is found that with regards to the past behaviour of primary commodities as well as for the forecasts obtained, the trajectory of primary commodity prices relative to the price of developed country manufactures exports is not generally characterised by a downwards trend.

Item Type: Thesis (University of Nottingham only) (PhD)
Supervisors: Rayner, Anthony
Newbold, Paul
Keywords: commodity prices, wheat prices, Prebisch Singer Hypothesis, MUV index
Subjects: H Social sciences > HG Finance
Faculties/Schools: UK Campuses > Faculty of Social Sciences, Law and Education > School of Economics
Item ID: 12151
Depositing User: EP, Services
Date Deposited: 31 Aug 2011 13:36
Last Modified: 14 Sep 2016 23:24
URI: http://eprints.nottingham.ac.uk/id/eprint/12151

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