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.

When the South African Futures Exchange (SAFEX) Agricultural Products Division (APD) was formed in the early 1990s after the demise of the Marketing Boards, the support and direct participation of producers on the exchange was core to its long term success. A tremendous amount of energy and cost was invested by SAFEX and brokers to educate and sign up primary producers. Most agribusinesses (excooperatives) also had broking divisions. This campaign was very successful and a large percentage of producers, particular of maize and wheat, opened SAFEX accounts through brokers. It was not unusual for many of them to open more than one account with different brokers. Collectively, they had a very important impact on the market. Fifteen years after the launch of the wheat contract (in 1998), this is no longer the case. Industry sources have it that many, if not most, producers have either closed their accounts, have an inactive account, or have scaled down their trading activities. This leads to the hypothesis that direct participation by producers on the JSE/SAFEX Commodity Division is declining. The questions that arise from this observation are:  Are producers distancing themselves from SAFEX (or the other way around)? or,  Has the industry matured and progressed into a new era? This research had the objectives to:  Determine the estimated percentage of producers that directly traded on SAFEX during the initial years and compare the data to present numbers. Based on the outcome of the primary data collected, to determine if there is indeed a trend.  If correct, to determine what the reasons for this could be. Has there been a shift in hedging practices? Are brokers offering additional services which make it unnecessary for producers to operate directly on the exchange? Wheat producers in the Western Cape were selected as the target group for various reasons, including the province’s geographical isolation, its importance as a wheat production area and the importance of wheat in the gross income generated by producers. The survey firstly established the importance of wheat in the Western Cape grain production areas. No doubt, income derived through wheat production is still very important throughout the Western Cape, but in certain areas it is absolutely crucial. Next, the survey attempted to determine how and when producers ‘price’ (sell) wheat. The survey then aimed to establish what the most important factors are that influence producers’ pricing strategy. Producers ranked growing conditions as the number one factor in taking a pricing decision, followed by production costs. Furthermore, producers do adjust their marketing strategy but there seems to be a difference of opinion as to whether it is on their own accord or on advice of their brokers. The survey not only depended on producer data but cross-referenced with brokers (traders and agribusinesses). Based on overall feedback, the analysis determined vi that on average in the Western Cape 10 – 20% of wheat producers had SAFEX accounts, while in selected areas it was as high as 37 – 50%. It was also important to determine to what extent SAFEX trading activity had decreased, if at all. This question only applied to those respondents that said they did have a SAFEX account and their activities had decreased. The answer revealed that 91% of respondents had stopped trading altogether. Having now established that a fairly large number of producers had accounts on which most had ceased their activities, the question is why. Cash flow requirements are the single biggest reason why producers have reduced (or completely stopped) their participation on SAFEX. The second reason was that a producer could achieve the same benefits and more through the services offered by the grain traders and agribusinesses, compared to trading directly on SAFEX. It should not be forgotten that the trader could only offer these service if he or she does a deal, back-to-back, on SAFEX. This is part of the reason why all traders and agribusinesses have a SAFEX account. The survey concluded with what might be singled out as one of the most important questions (given what had been determined up to this point): Do producers believe brokers offer all of the marketing options that could be achieved by trading direct on SAFEX? With the benefit of already having analysed the response to the earlier questions, the answer might have been expected. However, the response was overwhelming: 97% of respondents said that brokers offer all of the marketing options they were interested in. It could therefore be said that the decline in direct SAFEX participation by Cape wheat producers is the direct result of the all-inclusive services offered by traders and agribusinesses. Producers sign a forward contract with their brokers while the brokers would offset their risk on SAFEX. An element of caution, however, needs to be expressed. Given the importance of wheat in the Western Cape, and particularly in the Swartland, producers should not relinquish their responsibility to acquire or maintain a minimum amount of knowledge on the functioning of SAFEX. Irrespective of whether producers deal directly on SAFEX or through their brokers, knowledge now and in the future will hold the key to their marketing performance and should not be replaced by using brokers. / Dissertation (MSc Agric)--University of Pretoria, 2013. / gm2014 / Agricultural Economics, Extension and Rural Development / unrestricted

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.)

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The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices. The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. The findings provide important implications for optimal asset allocation and portfolio diversification with respect to various market conditions, namely both in “good” and “bad” (crisis) times. The second paper is entitled “On the time scale behaviour of Equity-Commodity links: Implications for Portfolio Management”, and has been published in the Journal of International Financial Markets, Institutions and Money (2016). The study is co-authored with Professors S. Bekiros, D.K. Nguyen, and B. Sjö. It develops a holistic framework for the investigation of the multi-horizon and intra-frequency causal directionalities of various asset classes, by means of multi-resolution analysis. The results verify the assumption that financial markets exhibit time-varying co-movement patterns, which are fundamentally important in a) generating profitable trading strategies according to different investor horizon expectations and b) decoding the financialization mechanism across various asset classes. The third paper entitled “Business Cycle (de) Synchronization in the aftermath of the Global Financial Crisis: Implications for the Euro Area”, was published at Studies in Nonlinear Dynamics and Econometrics (2015) and is co-authored with S. Bekiros, D.K Nguyen and B. Sjö. In this work, the scale-dependent time-varying (de)synchronization effects between the Eurozone and the broad Euro area business cycles are revealed, before and after the global financial crisis. The results, which point towards an increased observed comovement during the crisis period for the Euro area, could be catalytic for the introduction of a more efficient monetary policy by EU institutions and in particular by the European Central Bank. In the fourth paper, “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach”, which was published in the International Review of Economics and Finance (2016) and co-authored with J.C. Reboredo, the financial and policy uncertainty is investigated in relation to the price dynamics of energy and metal commodity futures’ markets. This work lead to the analysis of the asymmetric interrelationships with respect to changes in the perceptions of various risk measures, covering various periods, i.e., “normal” vs. “turbulent” such as upward or downward market episodes. The fifth paper, co-authored with P. Andreasson, S. Bekiros and D.K. Nguyen, is entitled “The impact of speculation and economic uncertainty on commodity markets”, and is published in the International Review of Financial Analysis (2016). This paper attempts a novel methodological approach to measuring speculation in commodity markets, in particular whether market speculation drives agricultural commodity prices or viceversa. The assessment of the empirical analysis demonstrates that agricultural prices are not affected by speculation. Finally, the sixth paper “Energy and Output Dynamics in Bangladesh”, co-authored with B.P. Paul, was published in Energy Economics (2011) and explores the relationship between energy utilization and economic growth in Bangladesh. Specifically, it deals with the important issue of whether energy consumption can be reduced without affecting economic growth while at the same time implicitly may lead to poverty reduction. The findings substantiate the fact that a) energy usage has become more efficient in recent times, as well as indicate that b) fluctuations in energy consumption did not have a significant impact on economic output.

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