Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence

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Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence

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Luca Pieroni
Matteo Ricciarelli

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Luca Pieroni

Abstract

Stockholding decisions in agricultural commodity markets represent a source for strengthening risk management techniques related to future markets development. In this work, we propose a generalised dynamic approach to obtain a consistent stockholding decision rule, in which the cash and storage markets are modelled simultaneously. The qualitative dynamic investigation of the storage function is carried out by considering two heterogeneous categories of agents - processors and speculators – who are responsible of fluctuations of the spot price equation. Using the U.S. corn market data, empirical estimations are statistically robust and economically coherent with the theory

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Paper provided by Università di Perugia, Dipartimento Economia, Finanza e Statistica in its series Quaderni del Dipartimento di Economia, Finanza e Statistica with number 11/2005.

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Date of creation: 04 Jun 2005
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Handle: RePEc:pia:wpaper:11/2005

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Article
- Pieroni, Luca & Ricciarelli, Matteo, 2008. "Modelling dynamic storage function in commodity markets: Theory and evidence," Economic Modelling, Elsevier, vol. 25(5), pages 1080-1092, September. [Downloadable!] (restricted)

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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