Course Description
Provides an advanced introduction to the understanding of forces that determine the level and behavior of commodity prices, linkages across commodity markets, and forecasting price levels and volatility. Includes price analysis of the futures contracts on commodities traded on organized exchanges. Integrates economic theory and analytical methods with applied econometric methods developed in the commodity price analysis literature.
Athena Title
Price Analysis
Prerequisite
(AAEC 6580-6580L or AAEC 6590 or ECON 8010 ) and (AAEC 6610 or AAEC 6620 or ECON 8080)
Semester Course Offered
Offered fall
Grading System
A - F (Traditional)
Course Objectives
This course is designed to introduce economic theory and applied methods in commodity price analysis, including demand and supply factors, spatial and temporal price relationships, impact of storage and seasonality on price behavior, mechanisms for discovering prices, price relationship on commodity futures markets, and market efficiency. Upon completion of this course, students are expected to understand and be able to empirically analyze basic determinants of commodity prices, the pattern of commodity prices over time, the linkages across different commodity prices; test for price discovery function of futures markets and for market efficiency; and develop forecasting models for price levels and price volatility. Students will have hands-on experience in the empirical application of commodity price analyses by replicating academic papers in this literature as well as by developing and conducting their own research paper.
Topical Outline
1. Demand, Supply, and Price Determination 2. Spatial Price Relationships 3. Temporal Price Relationships 4. Price Discovery between Futures and Spot Markets 5. Market Efficiency 6. Pricing Storable Commodities 7. Pricing Non-storable Commodities 8. Pricing Seasonal Commodities 9. Price Volatility 10. Forecasting
Syllabus
Public CV