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

Xin Jin

doi:10.1016/j.jimonfin.2018.09.002

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

Xin Jin (Corresponding Author)

Research output: Contribution to journal › Article › peer-review

5 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 language	English
Pages (from-to)	1-18
Number of pages	18
Journal	Journal of International Money and Finance
Volume	90
Early online date	7 Sep 2018
DOIs	https://doi.org/10.1016/j.jimonfin.2018.09.002
Publication status	Published - 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

Access to Document

10.1016/j.jimonfin.2018.09.002Licence: Unspecified

Accepted Manuscript
© 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Accepted author manuscript, 335 KBLicence: CC BY-NC-ND

Cite this

@article{6a2d843745414993b33e7fe99a0ba94f,

title = "The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data",

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{\textquoteright} 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.",

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",

author = "Xin Jin",

note = "This is an updated version of the paper previously circulated as University of Aberdeen Business School Discussion Paper in Economics No 16-10 (ISSN 0143-4543). The author is grateful to Nathan Balke at Southern Methodist University for advice and suggestions. All errors and mistakes are the author{\textquoteright}s.",

year = "2019",

month = feb,

day = "1",

doi = "10.1016/j.jimonfin.2018.09.002",

language = "English",

volume = "90",

pages = "1--18",

journal = "Journal of International Money and Finance",

issn = "0261-5606",

publisher = "Elsevier",

}

TY - JOUR

T1 - The Role of Market Expectations in Commodity Price Dynamics

T2 - Evidence from Oil Data

AU - Jin, Xin

N1 - This is an updated version of the paper previously circulated as University of Aberdeen Business School Discussion Paper in Economics No 16-10 (ISSN 0143-4543). The author is grateful to Nathan Balke at Southern Methodist University for advice and suggestions. All errors and mistakes are the author’s.

PY - 2019/2/1

Y1 - 2019/2/1

N2 - 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.

AB - 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.

KW - commodity spot price

KW - commodity inventory

KW - expectations shock

KW - dynamic equilibrium model

KW - state space model

KW - Dynamic equilibrium model

KW - Commodity inventory

KW - State space model

KW - Expectations shock

KW - Commodity spot price

UR - http://www.scopus.com/inward/record.url?scp=85054036443&partnerID=8YFLogxK

UR - http://www.mendeley.com/research/role-market-expectations-commodity-price-dynamics-evidence-oil-data

U2 - 10.1016/j.jimonfin.2018.09.002

DO - 10.1016/j.jimonfin.2018.09.002

M3 - Article

VL - 90

SP - 1

EP - 18

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this