EconPapers    
Economics at your fingertips  
 

The role of market expectations in commodity price dynamics: Evidence from oil data

Xin Jin

Journal of International Money and Finance, 2019, vol. 90, issue C, 1-18

Abstract: This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock 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.

Keywords: Commodity spot price; Commodity inventory; Expectations shock; Dynamic equilibrium model; State space model (search for similar items in EconPapers)
JEL-codes: C32 G18 Q38 Q41 Q48 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560618305485
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:90:y:2019:i:c:p:1-18

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-19
Handle: RePEc:eee:jimfin:v:90:y:2019:i:c:p:1-18