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Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding

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Author Info
Miranda, Mario J
Glauber, Joseph W

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Abstract

Stochastic-dynamic programming and disequilibrium maximum likelihood methods are combined to estimate a dynamic nonlinear rational expectations model of a market for a storable primary commodity. The estimation model captures the inherently nonlinear structure of private stockholding dynamics, the disequilibrium effects of government buffer stock intervention, and the impact of price expectations and risk on private supply and stockholding decisions. Copyright 1993 by MIT Press.

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Publisher Info
Article provided by MIT Press in its journal Review of Economics & Statistics.

Volume (Year): 75 (1993)
Issue (Month): 3 (August)
Pages: 463-70
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Handle: RePEc:tpr:restat:v:75:y:1993:i:3:p:463-70

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  1. Wang, Dabin & Tomek, William G., 2005. "Characterizing Distributions of Class III Milk Prices: Implications for Risk Management," 2005 Annual meeting, July 24-27, Providence, RI 19322, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  2. TOKOVENKO, Oleksiy & Gunter, Lewell F., 2008. "Quarterly Storage Model of U.S. Cotton Market: Estimation of the Basis under Rational Expectations," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6435, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  3. Carter, Colin A. & Revoredo, Cesar L., 2000. "The Interaction of Working and Speculative Commodity Stocks," 2000 Annual meeting, July 30-August 2, Tampa, FL 21820, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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  4. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics. [Downloadable!]
  5. Peterson, Hikaru H. & Tomek, William G., 2003. "How Much Of Commodity Price Behavior Can A Rational Expectations Storage Model Explain?," Staff Papers 30712, Kansas State University, Department of Agricultural Economics. [Downloadable!]
  6. Vedenov, Dmitry, 2003. ""Irrational" Planting Behavior As Rational Expectations Of Government Support," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35237, Southern Agricultural Economics Association. [Downloadable!]
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