| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === Commodity, real estate, and equity are the most important components in the financial market, and they mutually move and substitute to create the “Business Cycle” between these three elements. The main effect of commodity business cycle change is from the “Supply-Demand Rule”. Because of the Rule, commodity business cycle needs a long time to circulate and is affected by external factors easily like: Weather (Global Warming), Country political factor (Tax), War (oil crisis), International Situation (Industrial Structure, Emerging Market Expansion). And be affected by itself from endogenous factor (Supply-Demand Rule). Nowadays, commodity business cycle change is the most important discussion people want to comprehend in the financial market.
This article focus on commodity market seriously unbalance on supply and demand recently. Commodity price rise already become the most important discussion in international society. I employ 31 commodities and five commodity index to research. The research period is 1994/01~2008/01 and aggregate 169 monthly data. And I discriminate four categories: agricultural product, food, energy, and metal to understand the background and dynamic change of commodity price.
This research finds out five main points. First, Oil price rise actually bring big shock to commodity market -「Oil spills effect」. However, the price shock in metal commodity is the most significant. Both in expansion and contraction period have obvious effect. Second, most of commodities have unit root characteristic in ADF and PP test. However all of the commodities don’t have unit root characteristic in structure break unit root test, model find most of the commodities have big shock (short term) in 1997 Asia financial crisis. Third, the commodities of agricultural product, food, and metal exist long term and stable relationship. But don’t appear in energy commodities. Fourth, commodity price change actually and is susceptible to itself lag time series data. If we want to predict commodity price trend, past data is a useful and referable indicator. Fifth, most of the commodities persist in recession for more than five years in this cycle or just change into bull market. Recently commodity market expects to rise conceivably.
Furthermore, the main purpose of this article is aim to analyze the commodity by the model (MS-AR). And I find that the business cycle of the aluminum and the copper (metal commodity) switch theirs cycle once for ten years. The silver price switches its cycle once for five years, and it just changes into bull market from recession in this cycle. The business cycle of beef (food commodity) switches its cycle once for five years. It goes into evening in this cycle, and price probably reverses recently. The business cycle of rice already maintains in recession for nine years. Government should open rice storage to avoid rice price goes up excessively. The business cycle of the pork is not so obvious, and price easily reverses in short period. The business cycle of the wheat (agricultural product commodity) already maintains in recession for eight years. It needs some external forces (Government open storage) or the place (USA, Canada) of production increase output to make price go up gradually. The business cycle of the soybean switches its cycle once for three years. Its business cycle is not so obvious and changes frequently. The business cycle of the maize is also not so obvious and switches with season. Because oil price rises rapidly, maize becomes more popular Bio-energy commodity at present. Maize price may rises up conceivably, if oil price goes up persistently.
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