The role of market expectations in commodity price dynamics: Evidence from oil data
Journal of International Money and Finance, 2019, vol. 90, issue C, 1-18
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:90:y:2019:i:c:p:1-18
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