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David S Jacks - One of the best experts on this subject based on the ideXlab platform.
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From boom to bust: a typology of real Commodity Prices in the long run
Cliometrica, 2019Co-Authors: David S JacksAbstract:This paper considers the evidence on real Commodity Prices from 1900 to 2015 for 40 commodities, representing 8.72 trillion US dollars of production in 2011. In doing so, it suggests and documents a comprehensive typology of real Commodity Prices, comprising long-run trends, medium-run cycles, and short-run boom/bust episodes. The main findings can be summarized as follows: (1) real Commodity Prices have been on the rise—albeit modestly—from 1950; (2) there is a pattern—in both past and present—of Commodity Price cycles, entailing large and long-lived deviations from underlying trends; (3) these Commodity Price cycles are themselves punctuated by boom/bust episodes which are historically pervasive.
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what drives Commodity Price booms and busts
Social Science Research Network, 2016Co-Authors: David S Jacks, Martin StuermerAbstract:What drives Commodity Price booms and busts? We provide evidence on the dynamic effects of Commodity demand shocks, Commodity supply shocks, and inventory demand shocks on real Commodity Prices. In particular, we analyze a new data set of Price and production levels for 12 agricultural, metal, and soft commodities from 1870 to 2013. We identify differences in the type of shock driving Prices of the various types of commodities and relate these differences to Commodity types which reflect differences in long-run elasticities of supply and demand. Our results show that demand shocks strongly dominate supply shocks.
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what drives Commodity Price booms and busts
Energy Economics, 2016Co-Authors: David S Jacks, Martin StuermerAbstract:Abstract We provide evidence on the dynamic effects of aggregate Commodity demand shocks, Commodity supply shocks, and storage demand or other Commodity-specific demand shocks on real Commodity Prices. We analyze a new data set of Price and production levels for 12 agricultural goods, metals, and soft commodities from 1870 to 2013. We establish that Commodity demand shocks strongly dominate Commodity supply shocks in driving Prices over a broad set of commodities and over a long period of time. While Commodity demand shocks have gained importance over time, Commodity supply shocks have become less relevant.
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from boom to bust a typology of real Commodity Prices in the long run
Research Papers in Economics, 2013Co-Authors: David S JacksAbstract:This paper considers the evidence on real Commodity Prices over 160 years for 30 commodities representing 7.89 trillion USD worth of production in 2011. In so doing, it suggests and documents a complete typology of real Commodity Prices, comprising long-run trends, medium-run cycles, and short-run boom/bust episodes. The findings of the paper can be summarized as follows: real Commodity Prices of both energy and non-energy commodities have been on the rise from 1950 across all weighting schemes; there is a consistent pattern, in both past and present, of Commodity Price super-cycles which entail decades-long positive deviations from these long-run trends with the latest set of super-cycles likely at their peak; these Commodity Price super-cycles are punctuated by booms and busts which are historically pervasive and becoming more exacerbated over time. These last elements of boom and bust are also found to be particularly bearing in determining real Commodity Price volatility as well as potentially bearing in influencing growth in Commodity exporting economies.
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Commodity Price volatility and world market integration since 1700
The Review of Economics and Statistics, 2011Co-Authors: David S Jacks, Kevin H Orourke, Jeffrey G. WilliamsonAbstract:Abstract Poor countries are more volatile than rich countries, and this volatility impedes their growth. Furthermore, Commodity Prices are a key source of that volatility. This paper explores Price volatility since 1700 to offer three stylized facts: Commodity Price volatility has not increased over time, commodities have always shown greater Price volatility than manufactures, and world market integration breeds less Commodity Price volatility. Thus, economic isolation is associated with much greater Commodity Price volatility, while world market integration is associated with less.
Jeffrey G. Williamson - One of the best experts on this subject based on the ideXlab platform.
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distributional consequences of Commodity Price shocks australia over a century
Review of Income and Wealth, 2016Co-Authors: Sambit Bhattacharyya, Jeffrey G. WilliamsonAbstract:This paper studies the distributional impact of Commodity Price shocks over the short and the very long run. Using a GARCH model, we find that Australia experienced more volatility than many Commodity exporting developing countries over the periods 1865–1940 and 1960–2008. We conduct cointegration tests to assess the Commodity Price shock inequality nexus. A single equation error correction model suggests that Commodity Price shocks increase the income share of the top 1, 0.05, and 0.01 percent in the short run. The very top end of the income distribution benefits from Commodity booms disproportionately more than the rest of the society. The short run effect is mainly driven by wool and mining and not agricultural commodities. A sustained increase in the Price of renewables (wool) reduces inequality whereas the same for non-renewable resources (minerals) increases inequality. We expect that the initial distribution of land and mineral resources explains the asymmetric result.
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an economic rationale for the african scramble the commercial transition and the Commodity Price boom of 1845 1885 nber working paper 21213
2015Co-Authors: Ewout Frankema, Jeffrey G. Williamson, Pieter WoltjerAbstract:This is the first study to present a unified quantitative account of African Commodity trade in the long 19th century from the zenith of the Atlantic slave trade (1790s) to the eve of World War II (1939). Drawing evidence from a new dataset on export and import Prices, volumes, composition and net barter terms of trade for five African regions, we show that Sub-Saharan Africa experienced a terms of trade boom that was comparable to other parts of the ‘global periphery’ from the late 18th century up to the mid-1880s, with an exceptionally sharp Price boom in the four decades before the Berlin conference (1845-1885). We argue that this Commodity Price boom changed the economic context in favor of a European scramble for Africa. We also show that the accelerated export growth after the establishment of colonial rule deepened Africa’s specialization in primary commodities, even though the terms of trade turned into a prolonged decline after 1885.
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Commodity Price volatility and world market integration since 1700
The Review of Economics and Statistics, 2011Co-Authors: David S Jacks, Kevin H Orourke, Jeffrey G. WilliamsonAbstract:Abstract Poor countries are more volatile than rich countries, and this volatility impedes their growth. Furthermore, Commodity Prices are a key source of that volatility. This paper explores Price volatility since 1700 to offer three stylized facts: Commodity Price volatility has not increased over time, commodities have always shown greater Price volatility than manufactures, and world market integration breeds less Commodity Price volatility. Thus, economic isolation is associated with much greater Commodity Price volatility, while world market integration is associated with less.
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Commodity Price volatility and world market integration since 1700
National Bureau of Economic Research, 2009Co-Authors: David S Jacks, Kevin H Orourke, Jeffrey G. WilliamsonAbstract:Poor countries are more volatile than rich countries, and we know this volatility impedes their growth. We also know that Commodity Price volatility is a key source of those shocks. This paper explores Commodity and manufactures Price over the past three centuries to answer three questions: Has Commodity Price volatility increased over time? The answer is no: there is little evidence of trend since 1700. Have commodities always shown greater Price volatility than manufactures? The answer is yes. Higher Commodity Price volatility is not the modern product of asymmetric industrial organizations - oligopolistic manufacturing versus competitive Commodity markets - that only appeared with the industrial revolution. It was a fact of life deep into the 18th century. Does world market integration breed more or less Commodity Price volatility? The answer is less. Three centuries of history shows unambiguously that economic isolation caused by war or autarkic policy has been associated with much greater Commodity Price volatility, while world market integration associated with peace and pro-global policy has been associated with less Commodity Price volatility. Given specialization and comparative advantage, globalization has been good for growth in poor countries at least by diminishing Price volatility. But comparative advantage has never been constant. Globalization increased poor country specialization in commodities when the world went open after the early 19th century; but it did not do so after the 1970s as the Third World shifted to labor-intensive manufactures. Whether Price volatility or specialization dominates terms of trade and thus aggregate volatility in poor countries is thus conditional on the century.
Robert S Pindyck - One of the best experts on this subject based on the ideXlab platform.
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the simple economics of Commodity Price speculation
American Economic Journal: Macroeconomics, 2016Co-Authors: Christopher R Knittel, Robert S PindyckAbstract:The Price of crude oil never exceeded $40 per barrel until mid-2004. By July 2008 it peaked at $145 and by late 2008 it fell to $30 before increasing to $110 in 2011. Are speculators partly to blame for these Price changes? Using a simple model of supply and demand in the cash and storage markets, we determine whether speculation is consistent with data on production, inventory changes, and convenience yields. We focus on crude oil, but our approach can be applied to other commodities. We show speculation had little, if any, effect on oil Prices. (JEL G13, G18, G23, G31, Q35, Q38)
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the simple economics of Commodity Price speculation
Social Science Research Network, 2013Co-Authors: Robert S Pindyck, Christopher R KnittelAbstract:The Price of crude oil in the U.S. never exceeded $40 per barrel until mid-2004. By 2006 it reached$70, and in July 2008 it peaked at $145. By late 2008 it had plummeted to about $30 before increasingto $110 in 2011. Are speculators at least partly to blame for these sharp Price changes? We clarifythe effects of speculators on Commodity Prices. We focus on crude oil, but our approach can be appliedto other commodities. We explain the meaning of "oil Price speculation," how it can occur, and howit relates to investments in oil reserves, inventories, or derivatives (such as futures contracts). Turningto the data, we calculate counterfactual Prices that would have occurred from 1999 to 2012 in the absenceof speculation. Our framework is based on a simple and transparent model of supply and demand inthe cash and storage markets for a Commodity. It lets us determine whether speculation is consistentwith data on production, consumption, inventory changes, and convenience yields given reasonableelasticity assumptions. We show speculation had little, if any, effect on Prices and volatility.
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volatility and Commodity Price dynamics
Journal of Futures Markets, 2004Co-Authors: Robert S PindyckAbstract:Commodity Prices are volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production, the opportunity cost of producing the Commodity now rather than waiting for more Price information. I examine the role of volatility in short-run Commodity market dynamics and the determinants of volatility itself. I develop a structural model of inventories, spot, and futures Prices that explicitly accounts for volatility, and estimate it using daily and weekly data for the petroleum complex: crude oil, heating oil, and gasoline. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1029–1047, 2004
Gabriel Perezquiros - One of the best experts on this subject based on the ideXlab platform.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Emerging Markets Finance and Trade, 2014Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the response of each country's output growth to Commodity Price shocks is time dependent, size dependent, and sign dependent. The major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Thus, we conclude that the design of optimal countercyclical stabilization policies should consider that the reactions of economic activity vary considerably across business cycle regimes.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Social Science Research Network, 2013Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven greatest exporters Latin American countries: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the responses of their respective output growths to Commodity Price shocks are time dependent, size dependent and sign dependent. Overall, the major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of the economic activity vary considerably across business cycle regimes.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Research Papers in Economics, 2013Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel defi nition of Markovswitching impulse response functions, we fi nd that the response of their respective output growth to Commodity Price shocks is time-dependent, size-dependent and sign-dependent. Overall, the major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of economic activity vary considerably across business cycle regimes.
Maximo Camacho - One of the best experts on this subject based on the ideXlab platform.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Emerging Markets Finance and Trade, 2014Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the response of each country's output growth to Commodity Price shocks is time dependent, size dependent, and sign dependent. The major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Thus, we conclude that the design of optimal countercyclical stabilization policies should consider that the reactions of economic activity vary considerably across business cycle regimes.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Social Science Research Network, 2013Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven greatest exporters Latin American countries: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel definition of Markov-switching impulse response functions, we find that the responses of their respective output growths to Commodity Price shocks are time dependent, size dependent and sign dependent. Overall, the major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of the economic activity vary considerably across business cycle regimes.
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Commodity Prices and the business cycle in latin america living and dying by commodities
Research Papers in Economics, 2013Co-Authors: Maximo Camacho, Gabriel PerezquirosAbstract:We analyze the dynamic interactions between Commodity Prices and output growth of the seven biggest Latin American exporters: Argentina, Brazil, Colombia, Chile, Mexico, Peru and Venezuela. Using a novel defi nition of Markovswitching impulse response functions, we fi nd that the response of their respective output growth to Commodity Price shocks is time-dependent, size-dependent and sign-dependent. Overall, the major evidence of asymmetries in output growth responses occurs when Commodity Price shocks lead to regime shifts. Accordingly, we consider that the design of optimal counter-cyclical stabilization policies in this region should take into account that the reactions of economic activity vary considerably across business cycle regimes.