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Estimation of Rational Risk Response Models for Storable Primary Commodities

Author

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  • Miranda, Mario J.
  • Glauber, Joseph W.

Abstract

Stochastic-dynamic programming and disequilibrium econometric methods are combined to obtain maximum likelihood estimates of a dynamic nonlinear rational expectations model of a market for a storable primary commodity. The structural model captures the essential processes governing the dynamics of primary commodity markets including: the nontrivial role of private speculative stockholding, the inherently nonlinear disequilibrium effects of government buffer stock intervention, and the complex roles of expectations and risk in private supply and stockholding decisions.

Suggested Citation

  • Miranda, Mario J. & Glauber, Joseph W., 1991. "Estimation of Rational Risk Response Models for Storable Primary Commodities," 1991 Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk Meeting, March 17-20, 1991, San Antonio, Texas 271551, Regional Research Projects > S-232: Quantifying Long Run Agricultural Risks and Evaluating Farmer Responses to Risk.
    • Handle: RePEc:ags:rrsr91:271551
    DOI: 10.22004/ag.econ.271551
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