The Role of Market Expectations in Commodity Price Dynamics

Evidence from Oil Data

Research output: Working paperDiscussion paper

3 Citations (Scopus)
6 Downloads (Pure)

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.
Original languageEnglish
Place of PublicationAberdeen
PublisherUniversity of Aberdeen Business School
Pages1-47
Number of pages47
Publication statusPublished - 12 Sep 2017

Publication series

NameDiscussion Paper in Economics
PublisherUniversity of Aberdeen
No.7
Volume17
ISSN (Electronic)0143-4543

Fingerprint

Price dynamics
Oil
Commodity prices
Crude oil
Competitive dynamics
Spot price
Oil markets

Keywords

  • commodity spot price
  • commodity inventory
  • expectations shock
  • dynamic equilibrium model
  • state space model

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Jin, X. (2017). The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data. (pp. 1-47). (Discussion Paper in Economics; Vol. 17, No. 7). Aberdeen: University of Aberdeen Business School.

The Role of Market Expectations in Commodity Price Dynamics : Evidence from Oil Data. / Jin, Xin.

Aberdeen : University of Aberdeen Business School, 2017. p. 1-47 (Discussion Paper in Economics; Vol. 17, No. 7).

Research output: Working paperDiscussion paper

Jin, X 2017 'The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data' Discussion Paper in Economics, no. 7, vol. 17, University of Aberdeen Business School, Aberdeen, pp. 1-47.
Jin X. The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data. Aberdeen: University of Aberdeen Business School. 2017 Sep 12, p. 1-47. (Discussion Paper in Economics; 7).
Jin, Xin. / The Role of Market Expectations in Commodity Price Dynamics : Evidence from Oil Data. Aberdeen : University of Aberdeen Business School, 2017. pp. 1-47 (Discussion Paper in Economics; 7).
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