Empirical analysis of Indian commodity market data in linear and nonlinear frameworks
Journal Title: Scholars Journal of Economics, Business and Management - Year 2014, Vol 1, Issue 10
Abstract
Predicting commodity price dynamics is very important for speculators as well as investors. This paper analyzes the Indian commodity price as well as production data with a view to ascertain whether a linear or nonlinear approach is best suited to model their behaviour. Investigations are carried out to ascertain the stationarity of price and production data corresponding to four agricultural commodities, four metal commodities, and the Indian Gross Domestic Product (GDP). Standard and advanced unit root tests and variance ratio statistics are used in the analyses. Cointegration tests are carried out to ascertain whether the commodity production data are co-integrated with the Indian GDP. Further, parameters of the Lewis model, as formulated by Deaton and Laroque (2003) under the assumption of a linear commodity price process, are estimated using a full information maximum likelihood (FIML) technique to verify how this model fits the data in the Indian commodity market. Later, with the help of advanced unit root tests, it is shown that the commodity prices under study are better represented by a nonlinear process. Keywords: Indian commodity market data, Stationarity, Standard unit root tests, Co-integration test, Nonlinear unit root tests, ESTAR framework
Authors and Affiliations
Prabhati Kumari Misra, Kishor Goswami
Keywords
Related Articles
- EP ID EP384684
- DOI -
- Views 126
- Downloads 0
Effect of Market Entry and Operation Strategies on Performance of Commercial Banks
Abstract: Banks are engaged in intense competition to extend their services to the untapped market. They have adopted various strategies to enter and operate in new markets. One such bank is National Bank of Kenya that...
Executive Performance Appraisal System in Indian Organisations: A Case Study of an IT Company
Abstract: Performance Appraisal is the judgment of characteristics traits and performance of employees of the organization. It is a systematic and objective way of judging the relative worth of ability of an employee in...
Self-Rated Health in Middle Aged Population of Karachi, Pakistan
To determine awareness of self-rated health among middle aged population of Karachi, Pakistan. Self-rated health and the aspects that affect it have been described in few dimensions in Pakistan and research articles can...
Customer Communication Dimension of Marketing Mix- A Review of Gap between Mutual Fund Investors’ Expectation and Experience
The growth of mutual fund industry in India has been impressive in the recent past. Despite of this growth, investments in mutual fund products in India are low as compared to other global economies. Several reports have...
Creating a Loch of Satisfied Employees through Demographic Variables in Star Category Hotels
Hotels are the crucial component of hospitality industry as the industry is a customer oriented industry. Hotels contribute to the sector by offering services and facilities of extremely high standard. Now-a-days a numbe...