The Empirical Merit of Structural Explanations of Commodity Price Volatility: Review and Perspectives
Nicolas Legrand ()
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This paper presents both the history of and state‐of‐the‐art in empirical modeling approaches to the world commodity price volatility. The analysis builds on the storage model and key milestones in its development. Specifically, it is intended to offer a reader unfamiliar with the relevant literature an insight into the modeling issues at stake from both a historical and speculative viewpoint. The review considers primarily the empirical techniques designed to assess the merits of the storage theory; it does not address purely statistical approaches that do not rely on storage theory and that have been studied in depth in other streams of the commodity price literature. The paper concludes with some suggestions for future research to try to resolve some of the existing empirical flaws, and hopefully to increase the explanatory power of the storage model.
Keywords: commodity price dynamics; structural econometrics; storage model; empirical validation (search for similar items in EconPapers)
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Published in Journal of Economic Surveys, Wiley, 2019, 33 (2), ⟨10.1111/joes.12291⟩
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Journal Article: THE EMPIRICAL MERIT OF STRUCTURAL EXPLANATIONS OF COMMODITY PRICE VOLATILITY: REVIEW AND PERSPECTIVES (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01924388
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