Commodities Inventory Effect

Jean-François Carpantier and Arnaud Dufays

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Abstract: Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asym- metric volatility models for a large set of commodities over 1994-2011. Since inventories are hard to measure, especially for high frequency data, we use positive return shocks as a new original proxy for inventories and find that asymmetric GARCH models reveal a significant inventory effect for many commodities. The results look robust. They hold if we allow the uncondi- tional variance to vary over time and if we relax the parametric form.

Keywords: Asymmetries; Commodities; Inventory; Spline GARCH; VaR. (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

Published in [Research Report] 13-07, Center for Research in Economic Analysis, University of Luxembourg. 2013

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Working Paper: Commodities Inventory Effect (2013)
Working Paper: Commodities inventory effect (2010)
Working Paper: Commodities inventory effect (2010)
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