Classifying and modeling nonlinearity in commodity prices using Incoterms

Fahmy, Hany

doi:10.1080/09638199.2019.1629616

Cited by 9 publications

(11 citation statements)

References 27 publications

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“…Thailand is being the top rice exporter. (Fahmy, 2019) Thus, Thai rice is an imperative agricultural product to expand the country's revenue. Rice is not in a monopoly market because many countries have the ability to export, such as China, India, Thailand, Vietnam, Pakistan, Australia, and the USA.…”

Section: Thai Rice Backgroundmentioning

confidence: 99%

“…(Office of Agricultural Economics, 2017) However, other competitors are fortunate to adjust their rice price following the FOB of Thai rice price criteria. The FOB (Fahmy, 2019;Paisabazaar, 2019) stands for Free on Board which usually implies when shipping the product. According to the incoterms (International Commercial Terms), a trading contract mentions on an FOB that the costs and risks while transporting the cargo to the export port of the origin will be responsible by the exporter or shipper, which includes in the export price of the particular product.…”

Section: Thai Rice Backgroundmentioning

confidence: 99%

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Bayesian Maximal Information Coefficient (BMIC) to reason novel trends in large datasets

Wang

Surapunt

2022

Appl Intell

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Bayesian network (BN) is a probability inference model to describe the explicit relationship of cause and effect, which may examine the complex system of rice price with data uncertainty. However, discovering the optimized structure from a super-exponential number of graphs in the search space is an NP-hard problem. In this paper, Bayesian maximal information coefficient (BMIC) is proposed to uncover the causal correlations from a large dataset in a random system by integrating probabilistic graphical model (PGM) and maximal information coefficient (MIC) with Bayesian linear regression (BLR). First, MIC is to capture the strong dependence between predictor variables and a target variable to reduce the number of variables for the BN structural learning of PGM. Second BLR is to assign orientation in a graph resulting by a posterior probability distribution. It conforms to what BN needs to acquire a conditional probability distribution when given the parents for each node by the Bayes' Theorem. Third, Bayesian information criterion (BIC) is treated as an indicator to determine the well-explained model with its data to ensure correctness. The score shows that the proposed method obtains the highest score compared to the two traditional learning algorithms. Finally, the BMIC is applied to discover the causal correlations from the large dataset on Thai rice price by identifying causality change in the paddy price of Jas-

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Section: Thai Rice Backgroundmentioning

confidence: 99%

Section: Thai Rice Backgroundmentioning

confidence: 99%

Bayesian Maximal Information Coefficient (BMIC) to reason novel trends in large datasets

Wang

Surapunt

2022

Appl Intell

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“…Yuri Landa Arroyo, Leslie Arroyo Mendoza Precio de los metales: análisis de componentes principales La minería es una actividad económica relevante para el país, pues representó, en promedio, 8,9 % del PBI para el periodo 2007-2019(INEI, 2020b, y depende estrechamente de los precios internacionales de los metales. Los principales metales que se producen son cobre, oro, zinc, plomo, molibdeno, hierro, estaño y plata, cuyas participaciones en la exportación total peruana fueron de 30,4 %, 16,8 %, 5,2 %, 3,1 %, 1,2 %, 1,0 %, 0,7 % y 0,3 %, respectivamente, en el año 2018 (INEI, 2020a).…”

Section: íNdice De Theilunclassified

Evaluando la diversificación productiva a través de modelos de transición suave

Landa-Arroyo

Mendoza²

2022

ddee

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Con la finalidad de explicar por qué la diversificación en el Perú ha mostrado una reversión hacia la concentración de la cartera exportadora, se recurre a modelos econométricos de transición suave para reducir las restricciones en los parámetros que caracterizan la relación entre dos variables de interés: la diversificación y la infraestructura productiva, medida a través de la potencia eléctrica. Con ello se encuentra que, los precios de los commodities, como variable de transición, revierten la relación entre las variables de interés mencionadas; asimismo, se determina que las variaciones porcentuales de la potencia eléctrica han contribuido a la concentración de las ventas peruanas en menos líneas de exportación; y, de forma contraria, fomenta la diversificación respecto al valor de las mismas, medidas por medio de los márgenes extensivo e intensivo del índice de Theil, respectivamente.

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“…In addition to stationarity, nonlinearity, and the existence of structural breaks, Fahmy (2011Fahmy ( , 2014Fahmy ( , 2017 shows that the terms of trade, i.e., the international sales terms of commodity prices (also known as border prices or Incoterms) contain significant information that contribute to our understanding of the behavior of the price series. The author shows that nonlinear free on board (FOB) and cost insurance and freight (CIF) real commodity prices that are driven by exogenous regime-driving macroeconomic variables, e.g., inflation and oil price, do not display downward trends because the fluctuations in the exogenous regime-driving variables impact their nonlinear behavior.…”

Section: Introductionmentioning

confidence: 99%

A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis

Fahmy

2021

JRFM

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The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS hypothesis depend on the starting point of the technical analysis, i.e., stationarity, nonlinearity, and the existence of structural breaks. The objective of this paper is to appraise the PS hypothesis in the short- and long-run by employing a novel multiresolution wavelets decomposition to a unique data set of commodity prices. The paper also seeks to assess the impact of the terms of trade (also known as Incoterms) on the test results. The analysis reveals that the PS hypothesis is not supported in the long run for the aggregate commodity price index and for most of the individual commodity price series forming it. Furthermore, in addition to the starting point of the analysis, the results show that the PS test depends on the term of trade classification of commodity prices. These findings are of particular significance to international trade regulators and policymakers of developing economies that depend mainly on primary commodities in their exports.

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Classifying and modeling nonlinearity in commodity prices using Incoterms

Cited by 9 publications

References 27 publications

Bayesian Maximal Information Coefficient (BMIC) to reason novel trends in large datasets

Bayesian Maximal Information Coefficient (BMIC) to reason novel trends in large datasets

Evaluando la diversificación productiva a través de modelos de transición suave

A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis

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