The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data

Xin Jin (Corresponding Author)

Research output: Contribution to journalArticle

2 Citations (Scopus)
1 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 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
Pages (from-to)1-18
Number of pages18
JournalJournal of International Money and Finance
Volume90
Early online date7 Sep 2018
DOIs
Publication statusPublished - 1 Feb 2019

Keywords

  • commodity spot price
  • commodity inventory
  • expectations shock
  • dynamic equilibrium model
  • state space model
  • Dynamic equilibrium model
  • Commodity inventory
  • State space model
  • Expectations shock
  • Commodity spot price

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