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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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  • Luca Pieroni & Matteo Ricciarelli, 2005. "Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence," Quaderni del Dipartimento di Economia, Finanza e Statistica 11/2005, Università di Perugia, Dipartimento Economia.
    • Handle: RePEc:pia:wpaper:11/2005
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    Cited by:

    1. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    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. Silvia Micheli, 2010. "Learning Curve and Wind Power," Quaderni del Dipartimento di Economia, Finanza e Statistica 81/2010, Università di Perugia, Dipartimento Economia.
    4. 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.
    5. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
    6. 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.
    7. 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.

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    More about this item

    Keywords

    Spot and Storage Markets; Convenience Yield; Inventories;
    All these keywords.

    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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