Competitive Storage and Commodity Price Dynamics
By buying cheap and selling dear, risk-neutral commodity speculators can smooth commodity prices and induce serial dependence in price even when none would exist under a simple process of supply and demand. Commodity prices are variable and strongly positively correlated from one year to the next. The variability is often explained by supply factors and the autocorrelation by the activities of speculators. The authors show that this explanation is not consistent with the evidence. Speculation can substantially increase autocorrelation for prices that are weakly autocorrelated in its absence but not to the high levels that are observed in the data. Copyright 1996 by University of Chicago Press.
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References listed on IDEAS
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- Laroque, Guy & Salanie, Bernard, 1994. "Estimating the canonical disequilibrium model : Asymptotic theory and finite sample properties," Journal of Econometrics, Elsevier, vol. 62(2), pages 165-210, June.
- Angus Deaton & Guy Laroque, 1992.
"On the Behaviour of Commodity Prices,"
Review of Economic Studies,
Oxford University Press, vol. 59(1), pages 1-23.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Development Studies.
- Angus Deaton & Guy Laroque, 1990. "On The Behavior of Commodity Prices," NBER Working Papers 3439, National Bureau of Economic Research, Inc.
- Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
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