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Disequilibria phenomenon appears in the economic model of durable stocks proposed by A. Panchuck and T. Puu in [ 7 ]. In this paper, assuming that agents have the same utility functions, we give not only bounds of the disequilibrium but also prove the existence of a compact set of no-trade points such that it does not depend on the initial stock distribution. We also give a description of the nature of \begin{document}$ \omega $\end{document} –limit sets in the general case proving that disequilibrium points can be attained as limit points of orbits.

An important place in the diagnosis of the consumer goods market is occupied by the issues of analyzing methods for forecasting retail turnover. When forecasting retail turnover in the consumer market, an extrapolation method is partially applied. Since trade is a stable development system, their performance is relatively stable. In our work, based on the indicators obtained by extrapolating the turnover of various components of the consumer goods market, we derived a unified indicator - the ratio of commercial activity of the retail product market.

The paper provides insight into the behavior of non-ferrous metal prices on the London Stock Exchange during the health crisis caused by the spread of coronavirus in the period January 22 - October 30, 2020. The aim of this paper is to determine a statistically significant relationship between the number of confirmed cases of COVID-19 and non-ferrous metals prices copper, aluminum, zinc, nickel, lead and tin. A simple linear regression was used in the paper to obtain results. Following the report of the World Health Organisation and the introduction of restrictive measures to prevent the spread of coronavirus, the results of the regression support the fall in nonferrous metals prices on the London Stock Exchange. Also, the results suggest that the measures taken to address the negative economic consequences of the health crisis are associated with rising non-ferrous metal prices. As the economic impact of the pandemic is still uncertain, through an indicative review of current impacts, the conducted research also provides an opportunity to predict the price of non-ferrous metals in the future. The assumption that price stability in the metal market depends on the degree of control of pandemic COVID-19 provide a basis for future research.

Direct cash aid has been introduced to protect the poor from the impact of rising fuel prices in efforts to remove subsidies in Malaysia. Thus, this paper is aimed at evaluating the changes in prices and quantities of consumer commodities produced by 17 sectors in response to the integration of direct cash aid into fuel subsidy removal. Specifically, the direct cash aid was a reallocation of saved resources through the complete removal of fuel subsidy. This study was carried out using the Lofgren-based computable general equilibrium (CGE) model, by simulating the before and after imposition of fiscal integration. With the withdrawal of government fuel subsidy, the findings showed that recipients of the cash aid tended to spend on basic necessities such as food and beverages, and petrol (for individual vehicle consumption). Nonetheless, the sudden increase in consumer expenditure led to higher consumer prices as current supplies was unable to catch up with increase in demand. Thus, it is advisable to have other effective, concurrent development programs to stimulate future economic development. Keywords: Fuel subsidy removal, Direct cash aid, Computable general equilibrium (CGE) model.

This paper examines the relationship between spot and futures prices in the Indian commodity market for the period 2009 to 2020. The ARDL bounds-testing technique is used to explore the long-run relationship between these two prices. A vector error correction model is then used to reveal the nature of Granger causality between the two. Six commodities, namely aluminum, copper, crude oil, gold, nickel, and silver, and three indices, namely agricultural, livestock, and precious metals, are used for this empirical process. The results indicate a long-run equilibrium relationship between the spot and futures prices of these commodities. The causality analysis reveals unidirectional causality in the long run from the spot to the futures price for aluminum and copper, and both bidirectional and unidirectional causality in the short run between the two prices for aluminum, copper, gold, and silver.

Agricultural commodity markets are critical to the global economy. This study investigates the price discovery mechanism, lead-lag relationship, and volatility spillover between spot prices on the National Agriculture Market (E-NAM) and futures and spot prices on the National Commodity and Derivative Exchange (NCDEX) in the Indian agricultural commodity market. The Johansen Cointegration, Vector Error Correction (VEC), Granger causality tests, and bivariate GARCH models were applied to daily data from April 2016 to December 2020 for twelve agricultural commodities traded on the E-NAM and NCDEX. We discovered the long-run relationship using the Johansen Cointegration test and concluded that the NCDEX spot and futures market is dominant in the price discovery mechanism, and the NCDEX futures and spot markets lead the E-NAM spot prices having a unidirectional or bidirectional relationship. Furthermore, the bivariate GARCH model suggested a volatility spillover from E-NAM spot prices to NCDEX futures and spot markets for most commodities, except for bajra, barley, and jeera, which have no volatility spillover. The study’s findings have important implications for various stakeholders, including policymakers, farmers, investors, traders, and others who want to reduce price risks by using information from the E-NAM market’s spot prices.

This study focuses on understanding the progressive growth in commodity market which has witnessed a remarkable change in the past decade. After liberalization there was a tremendous change in the commodity market. Indian futures commodity market has played a major role in financial market of India. Commodity market acts as leverage for hedging and speculation. Commodity market is also an alternative option for an investor who is not happy with equity market. Awareness level of commodity market has to be improved. Derivatives trading in India are currently permitted in 6 national and 16 regional level commodity specific exchanges.Derivative is becoming gradually a significant tool in commodity market for price discovery, hedging and speculation purpose for effective trading. This paper focuses on the organization structure, commodity exchange and its implication on the commodity market.

With the advent of higher level of trading in commodities, investors’ focus has moved towards commodity market in recent years. Efficiency of the markets is the main area of concern for market players and always considered a valuable addition to the body of knowledge on investment management. Among all the commodities traded in Indian commodity market, bullions and base metals have emerged as a bigger area of interest for the investors. Industrial usage of these commodities with their participation in individual's investor portfolio as an investment avenue, increases their relative importance among other commodities. This paper examines the weak-form of Efficient Market Hypothesis (EMH) for both the segments. The period of study is 8 years, commencing from 2009, daily spot prices of commodities have been used to test the market efficiency in weak form. The weak form efficiency is thoroughly scrutinized with the help of graphs, runs test, augmented dicker fully and variance ratio test. The results of all the tests deployed in the study are consistent with each other and confirms the weak-form inefficient behavior of bullions and base metals.

The impact affected by the covid–19 pandemic influences various sectors in Indonesia, with no exception in agriculture sector. However, the agriculture sector still becomes a sustaining sector for other economic sectors because society's necessity is fulfilled by agriculture. Shallot is one of seven important commodities as basic needs for Indonesian and horticulture primadonna. Covid–19 pandemic presence influences shallot marketing indirectly from farmer till modern market. This research was conducted to analyze market efficiency of national shallot before and after covid–19 pandemic breaking out in Indonesia and used secondary data, which was approached through price data in farmers, wholesalers, traditional markets, and modern markets. This research would be analyzed using Ordinary Least Square approach on Ravallion Model. The research result showed that national shallot market was inefficient in the middle of a pandemic. Characteristic of shallot market was certainly volatile and had fluctuated prices, but it was more volatile in the middle of pandemic than before the pandemic broke out. It could be seen from market connection index and variance value. One of causes that is undeniable is distribution and information obstruction, which is caused by pandemic breaking. Besides, Large Scale Social Restriction rule caused shallot distribution disturbed.

An oligopoly and a presumed cartel on the fuel market used to be a widely discussed issue and topic of endless speculations in Georgia for years. It was an issue frequently covered by the media, discussed by politicians, studied and analysed by the NGO sector, examined by various experts and commented on by academics. In the absence of competition rules, the fuel market was often used as proof of the unhealthy development of the Georgian economy, in order to demonstrate the need for state intervention (Rimple, 2012; Transparency International Georgia, 2012). It thus came as no surprise that when Georgian Competition Law (hereafter, GCL) was adopted, and the Georgian Competition Agency (hereafter, GCA or Agency) started functioning, the first segment of the economy which the Agency choose to investigate on its own initiative was no other but the fuel commodity market. It was a strategically well chosen subject, which would attract the attention of the public as well as of businesses. It would popularize the new legal field as well as make an example and establish new standards for fair business practices in Georgia.

This paper examines the nature of interconnectedness between the returns of the price of oil and foreign exchange on selected agricultural commodity prices. To do this, the authors leverage the novel methodology of a spillover index developed by Diebold and Yilmaz (2012) that reports predictive directional measurement of volatility spillovers. International Journal of Forecasting 28, no. 1: 57-66) that reports: (i) Net spillovers; (ii) Directional spillovers; (iii) Pairwise net spillovers; and (iv) Total spillover indices. This study also captures all secular and cyclical movements with the aid of rolling window analysis to ensure the robustness of the estimations. Empirical analyses are constructed based on monthly realised frequency data from 2006M1 to 2016M7. The empirical analysis from the full sample size shows that rice, sorghum, price inflation, a nominal effective exchange rate and oil price display weak pass-through among the investigated variables while banana, cocoa, groundnut, maize, soybean and wheat are net transmitters of spillover. Based on these revelations, several policy prescriptions for the agricultural commodity markets and their diverse responses to either exchange rate fluctuations or a dwindling oil price are suggested for Nigeria.

This paper discusses the link between commodity market flexibility and financial derivatives. Real flexibility affects financial assets, directly, via the representative agent's ability to use real flexibility as substitute to holding financial options and, indirectly, via the aggregate effect of real flexibility on the dynamics of underlying commodity prices. Real flexibility is modelled as instantaneous adjustment of production in response to demand-driven changes in commodity prices and by gradual entry or exit of production units. Increased real flexibility typically reduces the market price of financial flexibility. The paper includes a short empirical section on oil and gas markets.

The purpose of this paper is to organise the present status of researches conducted on commodity market relationship, price discovery and volatility spillovers by reviewing the available literature. Other objectives of the present study are to classify the past studies under various categories, to provide an inclusive bibliography on the said topic and to evaluate the results of the studies taken into consideration by various researchers. Different sources were probed to review the past studies and out of thousands of paper, 130 research papers were considered, forming the sample for the present study. It was found that the research work on this topic has surged from 2010 to 2017, thus gaining consistently higher attention since then. The present study will aid academicians, practitioners future researchers, policy makers and other relevant stakeholders in studying the existing research work, as well as in setting the directions for future research work related to same subject area and use of such data in any field that can be contribute in a resourceful manner.

The present study documents the finding of a survey of brokers’ perception pertaining to the recently introduced commodity derivatives market in India. The survey results show the brokers’ assessment about trading/marketing activities and their perception of the benefits and concerns about commodity derivatives. It also throw some light on the perception of brokers about the efficiency of Indian commodity derivatives in performing the functions of price discovery, hedging effectiveness and volatility dynamics. The survey results show that high net worth individual are contributing significantly in the trade volume of commodity derivatives. Interestingly, retail investors are also emerged as the significant contributor in total turnover of brokers. Survey results exhibit that price discovery and hedging effectiveness functions are well performed by all the commodity futures except the energy commodities futures. Energy commodities, being the most volatile commodities, are perceived as having less hedging effectiveness as compared to others. Brokers are assenting on the high to moderate impact of open interest, volume and time to maturity on the volatility of the commodity futures derivatives.

The article describes enterprise math models, its interactions with environment in commodity market and quantitative conditions for its success and the crisis in such kind of interaction. Showed: the number of commodity market successful participants should be certain, regardless of market size; any size commodity market, including monopolistic, is as successful as producers' average activity dynamics is balanced with consumers' average activity dynamics.

This paper investigates the time‐varying volatility patterns of some major commodities as well as the potential factors that drive their long‐term volatility component. For this purpose, we make use of a recently proposed generalized autoregressive conditional heteroskedasticity–mixed data sampling approach, which typically allows us to examine the role of economic and financial variables of different frequencies. Using commodity futures for Crude Oil (WTI and Brent), Gold, Silver and Platinum, as well as a commodity index, our results show the necessity for disentangling the short‐term and long‐term components in modeling and forecasting commodity volatility. They also indicate that the long‐term volatility of most commodity futures is significantly driven by the level of global real economic activity as well as changes in consumer sentiment, industrial production, and economic policy uncertainty. However, the forecasting results are not alike across commodity futures as no single model fits all commodities.

Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present novel causal evidence that exposure to such index trading results in negative daily return autocorrelations among commodities in that index. This is because index trading propagates nonfundamental noises to indexed commodities, giving rise to price overshoots and subsequent reversals, consistent with the prediction of a stylized model. We present direct evidence for such noise propagation using commodity news sentiment data.

Purpose – The forecasting power of commodity futures is a matter of intensive research as evidenced by a number of related publications. The purpose of this paper is to illustrate how advanced forecasting techniques improve the predictability of sugar futures in the Indian commodity market. Design/methodology/approach – The forward premium is estimated using ordinary least square regression technique. Different linear and nonlinear models are used to forecast the sugar future spot prices from the futures prices. The forecasting accuracy of each pair of models is then compared by estimating the corresponding Diebold-Mariano test statistics. Findings – From the estimated forward premiums, it is found that there is more volatility toward the date of maturity for a three-month horizon compared to six-month, and 12-month horizons. It is established that the futures prices of sugar, when used in a model, are able to generate better forecasts for the future spot prices. Moreover, the forecasting accuracy is found to be better for a shorter futures horizon. Research limitations/implications – The present study is restricted only to sugar. If sufficient data are available, the same study could be extended to other commodities as well. The findings imply that technical traders would benefit by using advanced forecasting techniques along with futures prices of sugar to determine the expected future spot prices. Practical implications – The findings in this paper suggest that though simple statistical models may be adopted to relate future spot prices to futures prices, more accurate prediction of the price behavior is possible with advanced forecasting methods like the artificial neural network. Social implications – The findings will help market participants such as traders to be better informed about the future spot prices and hence get a better deal. Originality/value – This is one of the first investigations to assess the predictability of commodity futures by employing advanced forecasting techniques.

A discrete model of commodity market is converted into a continuous model augmented with time delay. Taking the delay as a bifurcation parameter, the system loses its stability and a Hopf bifurcation occurs when the delay passes through some critical values. Mathematics Subject Classication: 34K18, 91B62

This study explores the economic and financial effects of uncertainty on the commodity market integration. This issue is important from the perspective of financialization versus hedging strategy, as the commodity market plays an important role in this context. We consider the eight major developed equity markets and three major sectors of the commodity futures markets including energy, metals and agriculture, and several sources of uncertainty. To this end, we use the panel smooth transition regression (PSTR) to capture the heterogeneity in the regression coefficients that vary across individuals and over time. Our main findings indicate a significant effect of uncertainty on the commodity markets in the two “extreme regimes” of the financial market (recessions and booms), and the sign of this effect is heterogeneous depending on the type of commodity and the source of uncertainty.

On agricultural commodity futures, there is always been a doubt, expressed by different bodies and experts on the usefulness and suitability of futures contract in developing in the underlying agricultural commodity market, especially in an agricultural based economy like India. Here an attempt is made to revalidate the impact of futures trading on the agricultural commodity market. The daily price information in spot and futures market for a period of seven years ranging from 2007 to 2014 for five major agricultural commodities are estimated using VAR (Vector Auto Regression) and GARCH (1,1) to test the dynamic interrelationship among the variables. The empirical findings significantly show that comparative advantage of the futures market in disseminating information, leading to a significant price discovery and risk management, that can help to successfully develop the underlying commodity market in India.

We provide the first detailed empirical evidence on the financialization of intraday trading activity in the world’s largest commodity market and show that this development had a first-order positive impact on market liquidity and pricing efficiency. We use a rich regulatory dataset to show that the electronification of U.S. crude oil futures trading in 2006 brought about a massive growth in intraday activity by “non-commercial” institutional financial traders. We exploit differences in the post-electronification growth rates of institutional financial trading in crude oil futures contracts of different maturities to tease out the effect of financialization on key metrics of commodity market quality. We show that increased institutional financial trading reduces the variance of pricing errors, narrows bid-ask spreads, and improves market depth. Our inferences are robust to differences in the nature and volume of non-financial trading. Finally, we provide novel evidence of notable differences between the respective contributions of high-frequency traders (HFTs) vs. other (non-HFT) institutional financial traders to different market quality attributes.

The dimensions that comprise the sustainable well-being include a product market that is efficient and capable, on the one hand, to assign to the object exchanged a price representative of its actual value, determined by the encounter between supply and demand; and, second, to allocate the resources available to maximize the satisfaction of operators in the market. In essence, the attainment of sustainable well-being has to pass through the creation of a market for agricultural commodities as "sustainable" in the sense of place which would create the conditions to give satisfaction to those who work. Le dimensioni in cui si articola il benessere sostenibile includono un mercato dei prodotti efficiente e cioe capace, da un lato, di assegnare all’oggetto scambiato un prezzo rappresentativo del suo effettivo valore, determinato dall’incontro tra la domanda e l’offerta; e, dall’altro, di allocare le risorse disponibili in modo da massimizzare la soddisfazione degli operatori del mercato stesso. In sostanza, il raggiungimento di un benessere sostenibile deve necessariamente passare per la creazione di un mercato delle commodity agricole altrettanto "sostenibile", nel senso di luogo atto a creare le condizioni per dare soddisfazione a chi vi opera.

In competitive product markets, repeated interaction among producers with similar economic characteristics would be expected to result in convergence of their behaviors. If convergence does not occur, it raises fundamental questions related to the sustainability of heterogeneous competitive strategies. This paper examines the prices submitted to the British wholesale electricity market by four coal-fired plants, separately owned, approximately of the same age, size and efficiency, and located in the same transmission network zone. Due to the repetitive nature of the spot market, one would expect convergence in strategies. Yet, we find evidence of persistent price dispersion and heterogeneous strategies. We consider several propositions for these effects including market power, company size, forward commitments, vertical integration and the management of interrelated assets.

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. In this article, the importance of chosen macroeconomic determinants to the price variability of one of the most important commodity indexes S & P GSCI by using the Boosted Trees method is quantified. The results obtained in the research show that changes in the monthly values of macroeconomic determinants reflect and can, according to the model used, explain the volatility of the monthly average index S & P GSCI Total Return to more than 75%. The most important macroeconomic determinants proved to be Nominal Effective Exchange Rate of USD or US – Short-term interest rates.

In this paper, the existence of local and global Hopf bifurcation for a delay commodity market model is studied in detail. As time delay increases, the commodity price will fluctuate periodically. Furthermore, such fluctuations will occur even if the time delay is sufficiently large.

This paper investigates the financialization and structural co-movement of several commodity futures using factor variance decomposition and predictability of technical indicators and macro variables. We find that financialization is still a dominant player in the commodity market and that recent commodity price fluctuations can be significantly and robustly forecasted by technical analyses of commodity index investments. Moreover, the co-movement of commodities is demonstrated by variance decomposition and explained as commodity index investment, which provides evidence of financialization. The overall empirical analysis reveals that technical indicators and macro variables can statistically and economically forecast the indexed investment and off-index trading, respectively, which indicates that they are suitable predictors of the commodity markets.

Previous studies indicate a substantial time-variation in the co-movement of commodity futures markets and economic fundamentals. This paper examines the connectedness and directional spillovers for both the agricultural commodity futures markets and the corresponding sentiment indices. We first construct dynamic time-varying connectedness measures both for the agricultural commodity returns and sentiments. Then, we use panel data regressions and time-varying Granger causality tests to evaluate whether the spillovers between these returns and sentiments are influenced by the economic and financial uncertainties, including the global COVID-19 pandemic. In particular, we document that the COVID-19 induced uncertainty influences agricultural commodity returns and sentiments significantly around the first cycle of the pandemic in 2020. Last but not least, economic policy and financial market uncertainty are also found to be significant determinants of the connectedness between agricultural commodity returns and sentiment spillovers.