Abstract
This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an expectations shock explicitly along with concurrent shocks to study the commodity
price movements. This allows for a more refined analysis of the expectations' effect on price and inventory and the estimation of the expectations. Applied to the world crude oil market, it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014.
price movements. This allows for a more refined analysis of the expectations' effect on price and inventory and the estimation of the expectations. Applied to the world crude oil market, it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014.
Original language | English |
---|---|
Place of Publication | Aberdeen |
Publisher | University of Aberdeen: Business School |
Pages | 1-47 |
Number of pages | 47 |
Publication status | Published - 12 Sept 2017 |
Publication series
Name | Discussion Paper in Economics |
---|---|
Publisher | University of Aberdeen |
No. | 7 |
Volume | 17 |
ISSN (Electronic) | 0143-4543 |
Bibliographical note
This is an updated version of the paper previously circulated as Discussion Paper in Economics No 16-10 (ISSN 0143-4543).Keywords
- commodity spot price
- commodity inventory
- expectations shock
- dynamic equilibrium model
- state space model