Understanding International Commodity Price Fluctuations

Washington, D.C.

March 20-21, 2013

IMF Seminars, Conferences, and Economic Forums

Understanding International Commodity Price Fluctuations

International Conference organized by the IMF's Research Department and the Oxford Centre for the Analysis of Resource Rich Economies at Oxford University.

The Research Department of the International Monetary Fund and the Oxford Centre for the Analysis of Resource Rich Economies at Oxford University will hold an international conference on Understanding International Commodity Price Fluctuations at the IMF’s headquarters in Washington DC on March 20—21, 2013.

The conference is open to the public, but registration is required. The registration is now closed! Registered attendees will be required to present photo identification on entering the IMF at 700 19th Street, N.W. Washington D.C. For questions regarding the conference, please send an email to UICPF@imf.org.


Understanding International Commodity Price Fluctuations

WEDNESDAY, March 20, 2013

8:30 a.m.

Introduction
Tony Venables, Oxford University

Opening Remarks
David Lipton, First Deputy Managing Director, IMF

Opening Remarks Video

8:45 a.m. – 10:00 a.m.

SESSION I. SETTING THE STAGE

Video of Session I

Chair: Javier Blas, Financial Times
“Understanding International Commodity Price Fluctuations”

Keynote Speaker: José Ocampo, Columbia University, former United Nations Undersecretary-General for Economic and Social Affairs
 “Trends and Super-cycles of commodity prices”

Discussion

10:00 a.m. – 10:15 a.m.

Coffee Break

10:15 a.m. – 12:15 p.m.

SESSION II. ENERGY PRICES

Video of Session II

Chair: Olivier Blanchard, International Monetary Fund

Speaker: James Hamilton, University of California, San Diego
“Risk Premia in Crude Oil Futures Prices”
Presentation

Speaker: Eyal Dvir, Boston College
“Demand Effects and Speculation in Oil Markets: Theory and Evidence”
Presentation

Speaker: Scott C. Linn, University of Oklahoma
“The Response of U.S. Natural Gas Futures and Spot Prices to Storage Change Suprises and the Effect of Escalating Physical Gas Production”
Presentation

Discussion

12:15 p.m. – 1:45 p.m.

LUNCH

Lunch Address: Christof Rühl, BP
“Tight oil and Shale Gas: Global Implications”

Lunch Address Video by Christof Rühl

1:45 p.m. – 3:30 p.m.

SESSION III.  POLICY PANEL: ECONOMIC CONSEQUENCES OF THE DEVELOPMENT OF NEW ENERGY SOURCES

Policy Panel Video

Chair: Rick van der Ploeg, Oxford University

Panelists:
Javier Blas, Financial Times
Presentation
James Hamilton, University of California, San Diego
Presentation
Karen Harbert, Institute for 21st Century Energy (U.S. Chamber of Commerce)
Jeffrey Frankel, Harvard University
Presentation
Christof Rühl, BP

3:30 p.m. – 3:45 p.m.

Coffee Break

3:45 p.m. – 4:30 p.m.

Introductory Remarks: José Viñals, International Monetary Fund
Introductory Remarks Video Keynote Speaker: Gary Gensler, Chairman, Commodity Futures Trading Commission
“Financialization and Regulation of Commodity Markets”

4:30 p.m. – 6:30 p.m.

SESSION IV.  FINANCIALIZATION OF COMMODITY MARKETS

Video of Session IV

Chair: Andrei Kirilenko, Massachusetts Institute of Technology

Speaker: Michel Robe,  American University
“Speculators, Commodities and Cross-Market Linkages”
Presentation

Speaker: Lutz Kilian, University of Michigan
“Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets”
Presentation

Speaker: Vladimir Filimonov, ETH Zürich Entrepreneurial Risks, and David Bicchetti, UNCTAD
“Quantifcation of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets”
Presentation


Discussion

6:30 p.m. – 8:00 p.m.

Cocktail Reception (by invitation only)

Thursday, March 21

8:30 a.m. – 9:30 a.m.

SESSION V. HISTORICAL PERSPECTIVES

Video of Session V

Chair: Tony Venables, Oxford University

Speaker: Kaddour Hadri, Queen’s University, Belfast
“Breaking the Dynamic of Relative Primary Commodity Prices in Levels and Volatilities since 1650”
Presentation

Speaker: Gawon Yoon, Kookmin University
“When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices”
Presentation

Discussion

9:30 a.m. – 11:00 a.m.

SESSION VI. FORECASTING COMMODITY PRICES

Video of Session VI

Chair: Jorg Decressin, IMF

Speaker: Jeffrey Frankel, Harvard University
“Carry Trade” Model of Commodity Prices”
Presentation

Speaker: Kenneth D. West, University of Wisconsin
“Using Co-Movements to Forecast Commodity Prices”
Presentation

Speaker: João Victor Issler, Fundação Getulio Vargas
 “Using Common Features to Understand the Behavior of Metal-Commodity Prices and Forecast them at Different Horizons”
Presentation

Discussion

11:00 a.m. – 11:15 a.m.

COFFEE BREAK

11:15 a.m. – 12:45 p.m.

SESSION VII. FOOD PRICES

Video of Session VII

Chair: Shenggen Fan, Director General, International Food Policy Research Institute

Speaker: Scott Irwin, University of Illinois at Urbana-Champaign
“Bubbles in Food Commodity Markets: Four Decades of Evidence”
Presentation

Speaker: Fernando Avalos, Bank for International Settlements
“Do oil prices drive food prices? A natural experiment”
Presentation

Speaker: Will Martin, World Bank
“Implications of Domestic Price Insulation for Global Food Price Volatility”
Presentation

Discussion