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Analisi fondamentale di mercato con aspettative razionali: un modello per il mercato delle materie prime

Author

Listed:
  • Federico Perali

    (Università di Verona)

  • Luca Pieroni

    (Università di Perugia)

Abstract

The 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.

Suggested Citation

  • Federico Perali & Luca Pieroni, 2004. "Analisi fondamentale di mercato con aspettative razionali: un modello per il mercato delle materie prime," Rivista di Politica Economica, SIPI Spa, vol. 94(2), pages 187-224, March-Apr.
    • Handle: RePEc:rpo:ripoec:v:94:y:2004:i:2:p:187-224
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    Citations

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    Cited by:

    1. 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.

    More about this item

    JEL classification:

    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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