EconPapers    
Economics at your fingertips  
 

A Theory of Commodity Price Fluctuations

Marcus Chambers and Roy Bailey

Journal of Political Economy, 1996, vol. 104, issue 5, 924-57

Abstract: This paper studies the price fluctuations of storable commodities that are traded in open markets and are subject to random shocks to demand or, more particularly, to supply. It relaxes the common assumption that the shocks are identically and independently distributed in favor of temporally dependent and periodic disturbances. The existence of a unique stationary rational expectations equilibrium is demonstrated for each of the models analyzed and testable implications of the models are derived. An illustrative empirical investigation is then undertaken for the model with periodic disturbances using monthly time-series observations for seven commodities over the period 1960-93. Copyright 1996 by University of Chicago Press.

Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (118) Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1086/262047 full text (application/pdf)
Access to full text is restricted to subscribers. See http://www.journals.uchicago.edu/JPE for details.

Related works:
Working Paper: A Theory of Commodity Price Fluctuations (1994) Downloads
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:ucp:jpolec:v:104:y:1996:i:5:p:924-57

Access Statistics for this article

More articles in Journal of Political Economy from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().

 
Page updated 2022-05-19
Handle: RePEc:ucp:jpolec:v:104:y:1996:i:5:p:924-57