Leads and lags in commodity prices : an application of cross-spectral analysis (Anglais)

This paper reports the results of an application of spectral analysis to the short- and medium-term forecasting of primary commodity prices. The study posited and set out to identify three categories of systematic behavior within the commodity price ...  Voir la suite This paper reports the results of an application of spectral analysis to the short- and medium-term forecasting of primary commodity prices. The study posited and set out to identify three categories of systematic behavior within the commodity price series: (i) behavior which is inherent to the commodity market itself; (ii) behavior which reflects the impact of systematic behavior in another commodity market, e.g. substitutes or complements; and (iii) behavior which reflects movements which are common to all prices in the economy, as a result of, say, monetary policy changes. Because events in one commodity market take time to be reflected in other commodity markets, these cross-commodity effects should show up as lagged effects in the secondary market. The commodity prices included in the report's analysis are beef, wheat, rice, maize and soybeans. The pairs of price series analyzed reflect knowledge about the interrelationships between their markets. From the results of the analysis and the simulations of history, important leading relationships between commodity prices were identified. The forecast results indicate that these commodity prices will increase substantially in the next two years.  Réduire