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Curtin University
Centre for Research in Applied Economics (CRAE)

Modelling non-linear price dynamics of primary commodities that are affected by seasonality, significant storage costs, and slow adjustment

Dr Hiroaki Suenaga and Professor Harry Bloch have been awarded an ARC Discovery Grant with funding commencing in 2010 and continuing until 2012. Details of the project are as follows:

Project Summary

Australia's economy relies substantially on exports of commodities. However, recent volatility of commodity prices has created tremendous uncertainties for traders, producers and consumers of those commodities. This adversely affects our national economy through the disruption of agricultural and mining production, and also more broadly impacts on investment, employment and gross domestic income. This research will model more accurately the complex dynamics of primary commodity price movements protect themselves through inventory management, hedging and long-run production planning.

Publications and Presentations

Suenaga, Hiroaki, 2011; ‘Misspecification in term structure models of commodity prices: Implications for hedging price risk,’ at the 19th International Congress on Modelling and Simulation, Perth, December.

Bloch, Harry, Patricia Fraser and Garry MacDonald; forthcoming; ‘Commodity Prices: How Important Are Real and Nominal Shocks?’, Applied Economics, [published online 3 May 2011].

Bloch, Harry and David Sapsford; 2011; ‘Terms of Trade Movements and the Global Economic Crisis’, International Review of Applied Economics, 25(5) (September): 503-517 [published online 4 May 2011].

Bloch, Harryand David Sapsford, ‘Cycles and Trends in Coal and Oil Prices in the Long Run: A Schumpeterian Approach’, Presented at 34th International Association of Energy Economists International Conference, Stockholm, June 2011.

Bloch, Harry and David Sapsford, ‘Innovation, Real Primary Commodity Prices and Business Cycles’, (1) University of Manchester, School of Social Studies and Department of Economics seminar, 7 June 2011, (2) University of California at Berkeley, Haas Business School innovation seminar, 21 September 2011 and (3) University of California at Davis, Department of Agricultural and Resource Economics seminar, 23 September 2011.