Resource Center

Advanced Search
Technical Papers
Working Papers
Research Memoranda
GTAP-L Mailing List
GTAP FAQs
CGE Books/Articles
Important References
Submit New Resource

GTAP Resources: Resource Display

GTAP Resource #3599

"Can Storage Arbitrage Explain Commodity Price Dynamics?"
by Cafiero, Carlo, Eugenio S. A. Bobenrieth H., Juan R. A. Bobenrieth H and Brian Wright


Abstract
The nature of commodity price behavior remains in substantial dispute. Previous empirical tests of the standard storage model have concluded that storage arbitrage cannot explain the high serial correlation of prices. We introduce a Maximum Likelihood estimator that, unlike available approaches, makes full use of the predictions of the model about the most striking feature of commodity prices, the skewness revealed in their asymmetric dynamics, displaying occasional spikes. Our results for sugar establish the empirical relevance of storage in determining its price behavior. The dynamics of commodity prices can be quite different from those of the shocks that drive them.

Subject headings: Commodity Price Dynamics, Storage, Speculation, Sugar, Maximum Likelihood Estimation, Non-linear Dynamic Models.


Resource Details (Export Citation) GTAP Keywords
Category: 2011 Conference Paper
Status: Published
By/In: Presented at the 14th Annual Conference on Global Economic Analysis, Venice, Italy
Date: 2011
Version:
Created: Wright, B. (4/15/2011)
Updated: Wright, B. (4/15/2011)
Visits: 2,273
- Dynamic modeling


Attachments
If you have trouble accessing any of the attachments below due to disability, please contact the authors listed above.


Public Access
  File format 2011 Conference Paper  (1.0 MB)   Replicated: 0 time(s)


Restricted Access
No documents have been attached.


Special Instructions
No instructions have been specified.


Comments (0 posted)
You must log in before entering comments.

No comments have been posted.



Last Modified: 9/15/2023 2:05:45 PM