It is a broad function of this thesis to provide the commodity world with a new and valuable informational tool. This thesis shows quarterly prices for a ten year period 1940 through 1949, on fifty major commodities, giving in each case the actual cash price and the cash price adjusted to the purchasing power of the 1926 dollar. This adjusted price is a statistically derived relative price and for the purposes of this study is called a constant dollar value.

This thesis explores a selection of the ways in which an era of high mineral commodity prices - commonly dubbed the 'super-cycle' of the 2000s - is reshaping the map of global commodity markets. It pursues this agenda through three research aims: (1) to recast the relationship between geophysical resource supply, prices, and markets; (2) to examine some of the institutions that channel and benefit from resource wealth; and (3) to 'open the black box' of the commodity price formation process. The thesis pursues this agenda through four substantive papers, each with its own set of research objectives and findings, and primarily uses the example of phosphate as a vehicle for discussion. The first half of the thesis focuses on the production side of commodity markets. It begins by exploring the multidimensional nature of the concept of resource scarcity, both in its geophysical and socioeconomic aspects, by interrogating a prominent inherited conception of natural resource scarcity: 'peak' natural resources, specifically peak phosphorus discourses (chapter 3). The thesis then carries on the research agenda suggested by this initial study by conducting a field research-based case study of the little-known Moroccan state-owned phosphate mining and fertilizer company, OCP Group (chapter 4). It explores the particular type of principal-agent problem in generating and distributing national resource wealth that national extractive companies (NECs) such as OCP face. The second substantive half of the thesis is concerned with global commodity trading and price formation. It constructs an 'anatomy' of global phosphate markets in order to shed light on the phosphate price formation process (chapter 5). Based on this investigation, the thesis argues that despite the opacity of the processes by which phosphate is priced, an apparent lack of a 'benchmark' or reference price is not necessarily as problematic as market theorists might assume. Finally, the thesis takes a macro-level perspective of the relationship between finance and physical commodity trade by examining the role of financial trading in the governance of commodity markets (chapter 6). Overall the thesis distils the following findings. To begin with, a deeper and more nuanced understanding of the concept of resource scarcity puts short-term price movements as indicators of resource availability into perspective while revealing an unforeseen degree of complexity, as well as certain 'blind spots', in the geopolitical and institutional aspects of resource supply and trading. Second, the power of two particular, less-researched types of institutions that channel and benefit from resource wealth - names, national extractive companies and financial investors - is both less great and different in nature than is commonly assumed. Third, for institutional as well as geographic reasons that are specific to different types of commodities, the commodity price formation process is even further from the joint ideals of market transparency and liquidity than is commonly assumed. Finally, insofar as commodity production and trade can be conceived as part of the 'real economy', it cannot succumb to what is widely feared as the hegemony of 'financial logic'.

Master of Science / Department of Agricultural Economics / Ted C. Schroeder / In recent years, the agricultural markets have been subject to increased prices and unusual levels of elevated volatility. One likely driver of this is the mandated ethanol expansion in the Energy Policy Act of 2005. Previous research has identified relationships in market prices and variability between the energy and grain markets, but little has been done to evaluate volatility spillover across a broader spectrum of agricultural commodities. Additionally, few studies have assessed causal linkages across market implied volatilities. This research examines implied volatility spillover in futures markets across major agricultural commodities and energies. The analysis also determines the time path and magnitude of volatility translation across the markets and compares the causal relationships between pre-ethanol boom and post-ethanol boom time periods. Granger causality tests are conducted using multivariate and bivariate vector autoregressive modeling techniques, and impulse response functions are employed to obtain time paths of the reactions. Overall, results indicate that strong implied volatility spillover relationships exist between the grain markets and between the live cattle and feeder cattle markets. The analysis also finds that the agricultural markets have evolved from lean hogs being the primary volatility leader in the pre-ethanol boom era to corn being the primary volatility leader in the post-ethanol boom era. Despite a high correlation between crude oil and corn volatilities in the post-ethanol boom time period, the causal linkage between the two commodities’ volatilities may not be as definite as other literature suggests.

Die vorliegende Arbeit untersucht Risikofaktoren und Risikoprämien in Rohstoffmärkten und beinhaltet vier empirische Studien. Die ersten zwei Studien konzentrieren sich dabei auf Risikoprämien von verbundenen Terminmärkten für Elektrizität in Australien. In der dritten Studie wird ein Modell zur Beschreibung von extremen Preissprüngen bei Strom entwickelt. Die vierte Studie untersucht schließlich Risikoprämien in der Convenience Yield auf Rohstoffmärkten. (Für eine detailliertere Beschreibung der einzelnen Studien wird auf die jeweilige englische Zusammenfassung verwiesen.)

No description available.

Yes / Given that the probability of extreme weather has been dramatically increasing, this study contributes to the existing literature by bridging the relation between weather risks and global commodity prices with a secondary dataset (e.g., weather risks of Canada and the United States, agricultural raw materials price, gold price, and crude oil price). The results from the vector autoregression model and impulse response functions show that rising weather risks increase the price of agricultural raw materials and gold. However, the negative impact of weather risks on the crude oil price is found. Finally, the paper discusses the findings' potential implications (e.g., developing decarbonised supply chains) for decreasing weather risks' effects on commodity market uncertainties.

Stochastische Anwendungen von großen Simulationsmodellen des Agrarsektors werden immer häufiger. Allerdings ist die stochastische Modellierung mit großen Marktmodellen rechenintensiv und mit hohen Kosten für Datenabspeicherung, -analyse und -manipulation verbunden. Gausssche Quadraturen sind effiziente Stichprobenmethoden, die wenige Punkte für die Approximation der zentralen Momente von gemeinsamen Wahrscheinlichkeitsverteilungen brauchen und somit die Kosten der Datenmanipulation senken. Für symmetrische Integrationsräume sind die Ecken des Oktaeder von Stroud (Stroud 1957) Formeln dritten Grades mit minimaler Anzahl von Punkten, die die stochastische Modellierung mit großen Modellen handhabbar machen kann. Es gibt trotzdem die Vermutung, dass Rotationen von Stroud''s Oktaeder einen Einfluss auf die Exaktheit der Quadraturen haben könnten; daher werden in dieser Studie acht unterschiedliche Rotationen (Quadraturformeln) getestet. Es zeigte sich, dass der Gebrauch der Formel von Artavia et al. (2009) oder der von Arndt (1996) bei der Generierung der Quadraturen entscheidend ist, und dass die Formel von Arndt einen höheren Exaktheitsgrad ergibt. Mit der Rotation, die sich aus der Formel von Arndt ergibt und Modellen oder Märkten mit starken Asymmetrien wie der Weizenmarkt in ESIM, könnten die Reihenfolge der stochastischen Variablen in der Kovarianz Matrix (A1 oder A2) oder die Methoden zur Einführung der Kovarianz Matrix (via Cholesky-Zerlegung –C– oder via die Diagonalisierungsmethode –D– ) einen bedeutsamen Einfluss auf die Exaktheit der Quadraturen haben. Mit Arndt''s Formel und weniger asymmetrischen Modellen oder Märkten, wie der Fall von Raps in ESIM, haben die Reihenfolgen A1 und A2 oder die Methoden zur Einführung der Kovarianz Matrix C und D weniger Einfluss auf die Exaktheit der Quadraturen. / Recently, stochastic applications of large-scale applied simulation models of agricultural markets have become more common. However, stochastic modeling with large market models incurs high computational and management costs for data storage, analysis and manipulation. Gaussian Quadratures (GQ) are efficient sampling methods requiring few points to approximate the central moments of the joint probability distribution of stochastic variables, and therefore reduce computational costs. For symmetric regions of integration, the vertices of Stroud''s n-octahedron (Stroud 1957) are formulas of degree 3 with minimal number of points, which can make the stochastic modeling with large economic models manageable. However, the conjecture exists that rotations of Stroud''s n-octahedron may have an effect on the accuracy of approximation of the model results. To address this, eight different rotations (quadrature formulas) were tested using the European Simulation Model (ESIM). It was found that using the formulas from Artavia et al. (2009) or Arndt (1996) in the generation of the quadratures is crucial, and furthermore, that the formula from Arndt yields higher accuracy. With the rotation obtained with Arndt''s formula and in models or markets with high asymmetries, as is the case for soft wheat in ESIM, the arrangement of the stochastic variables (A1 or A2) in the covariance matrix or the method selected to induce the covariance matrix (via Cholesky decomposition – C – or via the diagonalization method – D – ) may have a significant effect on the accuracy of the quadratures. With Arndt''s formula and with less asymmetric markets, as is the case for rapeseed in ESIM, the selection of arrangements A1 or A2 and of the method to induce the covariance C or D might not have a significant effect on the accuracy of the quadratures.

Accounting / M.Com. (Accounting0

<p>In this thesis we focus resource allocation problems and electronic markets in particular. The main application area of ours is electricity markets. We present a number of algorithms and include practical experience.</p><p>There is an ongoing restructuring of power markets in Europe and elsewhere, this implies that an industry that previously has been viewed as a natural monopoly becomes exposed to competition. In the thesis we move a step further suggesting that end users should take active part in the trade on power markets such as <i>(i)</i> day-ahead markets and <i>(ii) </i>markets handling close to real-time balancing of power grids. Our ideas and results can be utilised <i>(a) </i>to increase the efficiency of these markets and <i>(b) </i>to handle strained situations when power systems operate at their limits. For this we utilise information and communication technology available today and develop electronic market mechanisms designed for large numbers of participants typically distributed over a power grid.</p><p>The papers of the thesis cover resource allocation with separable objective functions, a market mechanism that accepts actors with discontinuous demand, and mechanisms that allow actors to express combinatorial dependencies between traded commodities on multi-commodity markets. Further we present results from field tests and simulations.</p>

In this thesis we focus resource allocation problems and electronic markets in particular. The main application area of ours is electricity markets. We present a number of algorithms and include practical experience. There is an ongoing restructuring of power markets in Europe and elsewhere, this implies that an industry that previously has been viewed as a natural monopoly becomes exposed to competition. In the thesis we move a step further suggesting that end users should take active part in the trade on power markets such as (i) day-ahead markets and (ii) markets handling close to real-time balancing of power grids. Our ideas and results can be utilised (a) to increase the efficiency of these markets and (b) to handle strained situations when power systems operate at their limits. For this we utilise information and communication technology available today and develop electronic market mechanisms designed for large numbers of participants typically distributed over a power grid. The papers of the thesis cover resource allocation with separable objective functions, a market mechanism that accepts actors with discontinuous demand, and mechanisms that allow actors to express combinatorial dependencies between traded commodities on multi-commodity markets. Further we present results from field tests and simulations.