ABSTRACT
Commodity prices again! The twentieth century has only been the latest spectator to the impacts and importance of commodity price fluctuations. According to Fischer (1996), commodity price records have come down to us from the ancient civilizations of India, Mesopotamia, Egypt, Greece and Rome, some from as early as circa 1800 B.C. Beginning in the 12th century, price series of high quality can be found. Recall the Granger and Elliott (1967) time series study of 18th century grain prices. Formal research on the relationships between agricultural demand, supply and prices in a market context began earlier in the 20th century. This research not only evolved in sophistication but extended to mineral and energy commodities. In substance it analyzed market history, explained commodity prices, evaluated commodity policies and forecast commodity prices. Also at the beginning of that century, some of the earliest work took place on applying statistical methods to price series. In fact the study of prices has been one of the few areas in economics in which we have allowed the data to help us to formulate theory, as has been strongly advised (Granger, 1992; Hendry, 1995; and Roehner, 1997). This work recently reached a peak in the awarding of the Nobel Prize in Economics to Dr. Clive Granger in 2003 (shared) for his advances in time series econometrics, including applications to commodity prices.
