Analisi fondamentale di mercato con aspettative razionali: un modello per il mercato delle materie prime
AbstractThe traditional method to describe commodity markets with rational expectations is to link commodity prices with market shocks both on the supply and demand side. This study extends the traditional approach by specifying both the price and stock paths in terms of short and long run demand excesses which describe the market fundamentals. The results obtained from the analysis of the US corn market are statistically robust and economically coherent.
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Bibliographic InfoArticle provided by SIPI Spa in its journal Rivista di Politica Economica.
Volume (Year): 94 (2004)
Issue (Month): 2 (March-April)
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Find related papers by JEL classification:
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- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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- Pieroni, Luca & Ricciarelli, Matteo, 2008.
"Modelling dynamic storage function in commodity markets: Theory and evidence,"
Elsevier, vol. 25(5), pages 1080-1092, September.
- Luca Pieroni & Matteo Ricciarelli, 2005. "Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence," Quaderni del Dipartimento di Economia, Finanza e Statistica 11/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
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