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Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence

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  • Luca Pieroni
  • Matteo Ricciarelli

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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Keywords: Spot and Storage Markets; Convenience Yield; Inventories;

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Cited by:
  1. Silvia Micheli, 2010. "Learning Curve and Wind Power," Quaderni del Dipartimento di Economia, Finanza e Statistica 81/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  2. Damiani, Mirella & Pompei, Fabrizio & Ricci, Andrea, 2011. "Temporary job protection and productivity growth in EU economies," MPRA Paper 29698, University Library of Munich, Germany.
  3. Mirella Damiani, 2010. "Labour regulation, corporate governance and varieties of capitalism," Quaderni del Dipartimento di Economia, Finanza e Statistica 76/2010, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  4. Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
  5. Francesco Venturini, 2011. "Product variety, product quality, and evidence of Schumpeterian endogenous growth: a note," Quaderni del Dipartimento di Economia, Finanza e Statistica 93/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
  6. Davide Castellani & Fabio Pieri, 2011. "Foreign Investments and Productivity Evidence from European Regions," Quaderni del Dipartimento di Economia, Finanza e Statistica 83/2011, Università di Perugia, Dipartimento Economia, Finanza e Statistica.

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