Commodity Price Fluctuations Research Articles

Crude oil price prediction using deep reinforcement learning

Crude oil price forecasting has received considerable attention owing to its significance in the commodity market and non-linear complexity in forecasting tasks. This study aims to develop a novel deep reinforcement learning algorithm for multi-step ahead crude oil price forecasting in three major commodity exchanges. The proposed algorithm includes two main improvements: (a) A dynamic action exploration mechanism based on the stochastic processes conforming to commodity price fluctuations is designed for accuracy and generalization. (b) A dynamic update policy of network parameters based on approximate optimization theory is developed to improve the network's learning efficiency. The algorithm's effectiveness is experimentally verified and compared with five state-of-the-art algorithms. The main findings are as follows. (a) DRL's forecasting ability is developed in crude oil price forecasting, which may be extended to the forecasting of other natural resource prices. (b) The proposed algorithm can be applied to the data of the world's three major crude oil price benchmarks with considerable universality. (c) The accuracy of the proposed algorithm declines indistinctively with the expansion of the forecasting step; however, it reflects the actual price and fluctuation. These findings have implications in accelerating the global economic recovery and exploring AI in the energy market.

Incentive mechanisms to exploit intraseasonal price arbitrage opportunities for smallholder farmers: Experimental evidence from Malawi

AbstractSeasonal commodity price fluctuations can potentially offer farmers arbitrage opportunities to increase their income. However, smallholder farmers in most of sub‐Saharan Africa often do not exploit these opportunities to the fullest extent possible. To inform this issue, we conducted a randomized controlled trial among 1739 smallholder farmers in Malawi to estimate the impact of two key post‐harvest constraints, lack of appropriate storage technology and commitment issues, on farmers' legume storage and sales decisions. The treated groups received (i) an improved storage technology in the form of two hermetic (airtight) bags, (ii) the same improved storage technology under the condition that farmers store collectively with members of their farmer club in their village, and/or (iii) the improved storage technology under the condition that farmers store collectively at a centralized association warehouse. We analyzed the impacts of these treatments on storage behavior and revenue from sales. Results indicated that addressing the technological and commitment constraints simultaneously had the largest average impacts. One year after the intervention, farmers offered hermetic bags and the village storage program (Treatment 2) stored 24% more legumes at harvest, stored 27% longer, received a 3% higher price for their legumes and ultimately made 12% more on average than farmers in the control group. Farmers in that treatment also improved some (but not all) outcomes compared to farmers in other treatment groups. These findings suggest that combining technology with collective action that is localized and flexible can lead to better post‐harvest outcomes for smallholder farmers.

Directional Spillover of Fossil Fuels Prices on a Hydrothermal Power Generation Market

The Colombian electricity market is based on a hydrothermal power generation market with a strong dependence on exogenous variables such as fossil fuel prices and climatology factors. Besides, the Colombian economy is characterizable by relevant mining-energy activities. Therefore, the main objective of this research was to evaluate the directional spillovers between the electricity spot prices and gas, coal, and crude oil prices and thus provide relevant information for the electricity market agents to identify the risk related to energy commodity price fluctuations. The dataset used in this research consists of monthly logarithmic returns of energy prices between September 2009 and December 2019. The main finding shows that the system's average connectedness is 13,6%. Besides, the electricity spot prices are net shock receivers of volatility, and 20% of their dynamic is related to fossil fuel price fluctuations.

Can a small island nation build resilience? The significance of resource‐use patterns and socio‐metabolic risks in The Bahamas

AbstractResource‐use patterns may entail systemic risks and cascade effects, which consequently inhibit the ability to deliver socioeconomic services. Identifying resource‐use patterns exhibiting systemic risks and reshaping their combinations is a potential lever in realizing the transition to a sustainable, resilient, and resource‐secure system. Using an island context to assess the quantity and composition of resource throughput enables a more comprehensive analysis of these risks. This article presents the first mass‐balance account of socio‐metabolic flows for The Bahamas in 2018, to identify socio‐metabolic risks and cascading effects. Socio‐metabolic risks are systemic risks related to critical resource availability, material circulation integrity, and (in)equities in cost and benefit distributions. We utilize the economy‐wide material flow accounting framework to map the material flow patterns across the economy. In 2018, annual direct material input was estimated at 9.4 t/cap/yr, of which 60% were imports. High masses of waste (1.4 t/cap/yr) remained unrecovered due to the lack of recycling. Total domestic extraction (DE) were dominated by non‐metallic minerals with more than 80%, while marine biomass makes up barely 1% of total DE. Due to its linear, undiversified metabolism, and heavy imports dependency, the system is susceptible to socio‐metabolic risks and cascading effects including low levels of self‐sufficiency, high vulnerability to shocks, commodity price fluctuations, threats to sensitive ecosystems, health impacts, and economic losses, among others. A holistic resource management strategy and nature‐based solutions that consider the trade‐offs and synergies between different resource‐use patterns are critical when exploring potential plans for metabolic risk reduction.

Research on credit evaluation of enterprises in supply chain finance business

As a crucial link in the survival and development of enterprises nowadays, supply chain finance covers all aspects of enterprises and financial institutions. This study is dedicated to using techniques such as big data mining, mathematical modeling, industry standard definition and visualization analysis to apply the relationship between enterprises and each enterprise into a weighted directed network, determine credit rating weights using entropy weight method and TOPSIS, and monitor the information changes of enterprises in real time. With the relationship as the core, we collect and integrate enterprise credit information by means of feature extraction and graph construction, early warning risks, visualize and present complex business relationships, accurately supervise and serve the collateral and pledges by means of information technology, and timely grasp the operation status of goods and commodity price fluctuations staring the market, and visualize and present complex business relationships.

Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities

Do investors' financial trading behaviors really affect commodity price fluctuations? What is their role behind the financialization of commodities? Adopting weekly data from the U.S. Commodity Futures Trading Commission (CFTC), this paper uses quantile regression to study the nonlinear influence of speculative and hedging activities on the co-movement of commodity returns. Empirical results indicate that, firstly, speculative activities enhance the co-movement while hedging activities weaken the correlation between different commodity prices on average. Moreover, both effects are strengthened when the correlation in the quantile regression increases. In addition, the coefficient change trend of sub samples before the crisis at different quantiles is opposite from that of the whole sample and the sample after the crisis, whether it is speculation or hedging. Lastly, speculative and hedging activities have significant asymmetric effects on the excess co-movement. Some new and interesting conclusions are found, with implications for investors, regulators and policymakers.

Currency crises in emerging countries: The commodity factor

In this paper, we explore whether falls in commodity prices can explain the simultaneous occurrence of currency crises in emerging and developing countries. For our empirical analysis, we use a panel of 104 emerging and developing countries, covering the period 1970–2018. Our empirical investigation starts with an event study analysis, which reveals that currency crises in commodity dependent countries are preceded by commodity price growth 2 to 4 percentage points below normal. A second analysis, inspired by the literature on early warning systems, confirms this findings by showing that commodity price fluctuations are a key predictor of currency crises in commodity dependent countries. In addition, using Poisson regression analysis, we find that a 10% decrease in global commodity price indices leads to a rise of about 7% in the number of currency crises hitting commodity exporting countries.

Ethnofarming Practices of Mandaya Ginger Farmers in Andap, New Bataan, Davao de Oro, Philippines

The study aimed to determine the socio-demographic profile and document existing practices and problems related to ginger farmers' soil fertility, diseases, and insect pest management practices. Also, to analyze the agro-ecological situation using SWOT analysis. The enumerators conducted one-on-one interviews with the ginger farmers with participative field transects from November 2017 to June 2018 to identify the Ethnofarming practices of Mandaya ginger farmers with 44 key participants. The result shows that the majority of the ginger farmers are old (36%), male (80%), married (85%) with 5 to 6 children (32%), with more than 25 years of ginger farming experience (77%) in less than 0.25 hectare (50%), and have low educational attainment (48%). The Mandaya ginger farmers use soil color and texture, the presence of Ageratum conyzoides, and crop income from the previous cropping as indicators to identify fertile and infertile soils. Fewer Mandaya farmers still practice indigenous knowledge including magical, factual, and traditional practices on ginger production. Although most farmers use new technologies, some tend to combine their indigenous knowledge with new technologies for ginger farming. It has been identified that the Mandaya farmers had limited knowledge of controlling insect and disease infestations, soil fertility management, and commodity price fluctuation, which are significant constraints for them. Mandaya ginger farmers and government agencies are encouraged to develop technologies that will utilize their indigenous knowledge of ginger and other crops while promoting, preserving, and protecting their cultural identity anchored to a scientific way of farming to help attain food security and sustainability for the country.

Exploring the Trend of Commodity Prices: A Review and Bibliometric Analysis

As the supply of commodities forms essential lifelines for modern society, commodity price fluctuations can significantly impact the operation and sustainable development of macroeconomics, production activities, and people’s security and well-being. The commodity trading market also plays a pivotal role in the competition of the international industrial chain and the sustainable development of the industry. The method of bibliometrics was used in this study to trace the development of research on commodity prices, and statistical and co-citation analyses were conducted on selected literature samples. It was found that the research hotspots in this field are concentrated on four aspects: factors influencing commodity prices, the impact of price fluctuations on the macroeconomy, forecasts of commodity prices, and the financialization of commodities. A current commodity price research network centered on oil prices has formed. Future directions in this field, which developed out of oil shock research 40 years ago, can further investigate the impact of factors and the responses that can be made to emergencies on commodity prices, as well as continuing to develop better methods of commodity price forecasting.

The Effect of the Russia-Ukraine Crisis on Price Fluctuations and Trade in Energy Sector in Indonesia

Energy is an important factor for the sustainable development of a country. The political crisis that occurred between Russia and Ukraine has had a significant impact on trade and commodity price fluctuations, especially in the energy sector. The sanctions imposed on Russia caused global supply cuts from that country which resulted in limited availability of commodities so that prices rose. The increase in global commodity prices also had an impact on the country of Indonesia. This study aims to analyze the impact of the Eastern European crisis on Indonesia, especially trade and commodity price fluctuations in the energy sector. The method used in this research is a literature study so that relevant information is obtained. then the information is analyzed as Strengths, Weakness, Opportunities, and Threats. The results of the study show Indonesia's economy is currently still quite good, the increase in oil energy commodity prices is detrimental while gas, coal, and CPO are profitable for Indonesia. The crisis that has occurred has had a beneficial or detrimental impact on the Indonesian state.

Tail risk transmission from commodity prices to sovereign risk of emerging economies

The aim of this paper is to examine the impact of large fluctuations in global commodity prices on the dynamics of sovereign risk for 18 emerging economies using a conditional quantile dependence approach and weekly data covering the period March 27, 2009–April 25, 2022. The results show the following: commodity prices and sovereign risk move in opposite directions. The impact of global commodity prices on sovereign risk differ across countries. Commodity price fluctuations have asymmetric effects on sovereign risk; for some emerging countries, large upward commodity price fluctuations reduce sovereign risk, whereas large downward commodity price movements have a limited impact. These results have potential implications for investors and policy makers regarding sovereign risk management decisions and the cost of funding of investment projects.

Commodity price fluctuations and child malnutrition

In this paper, we empirically examine the potential impact of commodity price fluctuations on the nutritional status of children in the 0–5 age category. This is important as adverse shocks that children experience at the time of birth will have an irreversible long-term impact that can adversely affect subsequent human capital formation. Unlike the bulk of the literature in the area that focuses on the impacts of drought-induced income shocks, we focus on changes in income caused by fluctuations in international coffee prices. We thus aim to estimate the potential impacts of international commodity price fluctuations on the nutritional status of children in commodity-export-dependent developing countries. To this end, we use the three waves of the Tanzanian National Panel Survey (NPS), together with data on international coffee prices. Our results show that an upward coffee price fluctuation is associated with an improvement in childhood nutritional status in rural Tanzania. This result is robust to the inclusion of household (sibling) fixed effects and data choices. The main result of our paper underlines the importance of international commodity price fluctuations for the wellbeing of communities in commodity-export-dependent countries. In the case of Tanzania, for example, the coffee sector creates direct income for about 400,000 smallholder farmers who produce 90 percent of Tanzania’s coffee, which is mainly produced for export. Thus, if not well-managed, international commodity price fluctuations put a strain on the poverty reduction endeavors of developing countries that depend on exports of one or a few non-oil commodities. The results of the paper also have implications for Goal number 2 of the Sustainable Development Goals (SDGs) which aims to end all forms of malnutrition by 2030.

Effects of food prices on poverty: The case of Paraguay, a food exporter and a nonfully urbanized country

Agriculture in Paraguay plays a key role in economic development and economic growth. Fluctuations in commodity prices have been added to the inherent sector’s volatility linked to climate conditions. Since a vast share of households in developing countries like Paraguay are both consumers and producers of food the welfare effects of commodity prices fluctuations are not obvious: higher prices hurt consumption but benefit production. In this paper we simulate the welfare effects of a potential hike in food prices. We use the traditional agricultural model, households’ survey data and monthly price data for 127 food items. Our main results suggest that the expenditure effect is negative and regressive for all households, but larger in rural than urban areas. The income effect is positive and progressive in rural areas and negligible in urban ones. Therefore, we find that the potential overall impact of a potential increase in food prices in Paraguay has a very flat U-shaped curve effect. We conclude with a policy response simulation in order to help those affected by the initial increase in food prices.

The Effect of Export Commodities Price Fluctuation on the Banking Sectors' Financial Performance of the Sub-Saharan African States

This study examines the impact of export commodity price fluctuation on the financial sector performance in some selected sub-Saharan African (SSA) countries. The objective is to determine how instability in export commodity prices transmit to banking sector performance indicators in the region. Essentially a longitudinal study is conducted by combing annual time series data (1996 – 2018) for 18 sub-Saharan Africa countries that are resource exporter sourced from United Nations Conference on Trade and Development (UNCTAD) and World Bank database. The study adopts inferential, descriptive ex-post facto research design, using panel data covering the period 1996 to 2018 sourced from eighteen major primary commodity exporting countries in the sub-Saharan African states. Z-score to evaluate the probability of banking default. Oil price volatility is estimated using a GARCH data analysis framework in terms of mild volatility and intense volatility was applied to estimate the export commodity volatility while Z-score was used to profile the banking performance. It is found that intense commodity price fluctuations exert more debilitating effects on all banking sector performance indicators among the SSA countries with strongest effect of commodity price volatility on the banking sector performance being driven due to vulnerability of the banking sector. It is therefore recommended that banks evolve more efficient resilience mechanisms and that monetary and fiscal policy authorities should seek to enhance domestic capacity of the financial system to withstand domestic export commodity shock over time.

Financial hedging in two-stage sustainable commodity supply chains

This paper studies the optimal financial hedging strategy and sustainable development in four supply chain structures. To help manufacturers reasonably hedge the risks caused by the fluctuation of input commodity prices, we use an index-based price contract by which manufacturers can transfer part of their risk to downstream retailers and realize risk-sharing in the supply chain. We discuss the optimal hedging strategy and the product's green degree in four structures: monopoly (manufacturer sets contract), monopoly with Nash bargaining, retailer competition, and manufacturer competition. Our model follows two-stage Stackelberg game, which delivers us the results that the hedge ratio is positively related to the consumer's preference for green products but is inversely related to the green product research and development costs. Interestingly, in the manufacturer competition supply chain, the profits of both manufacturers increase significantly when the input commodity price fluctuates slightly, but as that fluctuation continually increases, the profit of one manufacturer declines, while the profit of the other rises slowly. Considering another perspective, green degree competition harms the profits of the manufacturers and the retailer, as well as decreasing the green degree.

Forecasting Agricultural Commodity Prices Using Dual Input Attention LSTM

Fluctuations in agricultural commodity prices affect the supply and demand of agricultural commodities and have a significant impact on consumers. Accurate prediction of agricultural commodity prices would facilitate the reduction of risk caused by price fluctuations. This paper proposes a model called the dual input attention long short-term memory (DIA-LSTM) for the efficient prediction of agricultural commodity prices. DIA-LSTM is trained using various variables that affect the price of agricultural commodities, such as meteorological data, and trading volume data, and can identify the feature correlation and temporal relationships of multivariate time series input data. Further, whereas conventional models predominantly focus on the static main production area (which is selected for each agricultural commodity beforehand based on statistical data), DIA-LSTM utilizes the dynamic main production area (which is selected based on the production of agricultural commodities in each region). To evaluate DIA-LSTM, it was applied to the monthly price prediction of cabbage and radish in the South Korean market. Using meteorological information for the dynamic main production area, it achieved 2.8% to 5.5% lower mean absolute percentage error (MAPE) than that of the conventional model that uses meteorological information for the static main production area. Furthermore, it achieved 1.41% to 4.26% lower MAPE than that of benchmark models. Thus, it provides a new idea for agricultural commodity price forecasting and has the potential to stabilize the supply and demand of agricultural products.

PERAN PERTANIAN KELUARGA (FAMILY FARMING) DI MASA PANDEMI COVID-19

FAO as an international institution that focuses on food and agriculture issues in the world has ordered since the end of 2019 regarding the potential for the global food crisis that occurs in the Covid-19 pandemic. This is a major concern for Indonesia, which has been relying on imports to meet food needs. Again with distribution problems caused by the PSBB policy, because food is added to the basic needs that must be met by every community. Family farming is an alternative to survive (food security) in the midst of a pandemic. In the global context, family farming has now been seen as an approach to food security from food security, improved nutrition as well as increased family welfare. This study aims to see the role of family farming applications in family food security in Binangun Village, Pataruman, Banjar City. Responses were chosen purposively as many as 33 female farmers who are members of the Puncaksari Women Farmers Group. The data used include primary and secondary data during 2020 using in-depth interview techniques, focused discussions and literature studies. The data collected was collected descriptively using the interactive model of Miles and Huberman. The results showed that family farming was able to play a role as a positive and productive activity during the pandemic, providing family food, increasing income, avoiding erratic food commodity price fluctuations, and maintaining the health of the environment and family.

Analysis of 3D Cobweb Economic Differential Dynamic System Based on Supply‐Demand and Price Relationships

When the supply and demand of commodities are out of equilibrium, the dynamic changes in supply and demand are mainly manifested in the dynamic fluctuation of commodity prices and the change of price will drive the change of supply and demand. This paper proposes a method for constructing a three‐dimensional cobweb economic model using the “predator‐prey” theory. Firstly, based on the intrinsic driving relationships among supply, price, and demand, a differential dynamic model of the commodity and a pulse differential model when productivity increases are established. Secondly, the differential dynamics theory is used to analyze the existence of the model’s positive equilibrium and to prove its global asymptotic stability, uniform boundedness, persistence, and existence of the periodic solution. Finally, the correctness of the conclusions of the model is verified by numerical simulation. The relevant conclusions of model (1) reveal the evolution laws of supply, price, and demand that fluctuate around the positive equilibrium and tend to balance. Model (32) reveals that with the continuous improvement of production technology, supply quantity, price, and demand will fluctuate, but all three will change periodically. These conclusions can provide valuable help for people in the production, sale, and purchase of goods.

Impact of Russia’s Export Commodities on the Europe Stock Market during and before the Russia-Ukraine War

The research aim of this paper is to investigate whether futures price fluctuations of major commodities during the Russian-Ukrainian war had an increased impact on the volatility of European stock index prices and whether they better explained stock index price fluctuations compared to pre-war commodity price fluctuations. Based on the results based on empirical research data, we tried to further discuss the correlation between strategic commodities of political significance and other global financial asset prices during special periods such as war. As main research method, regression analysis was used to explore whether the price fluctuation of Russia’s main export commodities (natural gas and wheat) better explained Europe’s stock market fluctuation (represented by FTSE) during the 2022 Russian invasion of Ukraine compared to the pre-war period. We compare the correlation between the European stock index and each of the two commodities during the war and before the war. The correlation is examined by investigating whether the changes in the indicators representing the increase in explanatory power are statistically significant. Spearman rank correlation coefficient was used as a more robust version to explain the change.

Common factors of commodity prices

SummaryIn this paper, we extract latent factors from a large cross‐section of commodity prices, including fuel and non‐fuel commodities. We decompose each commodity price series into a global (or common) component, block‐specific components, and a purely idiosyncratic component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and, since the early 2000s, has become more important in explaining variations in commodity prices.