Looking for evidence of speculative stockholding in commodity markets

Article Abstract:

Theory assumes that prices in commodity markets with speculative storage are a two-regime process depending on whether inventories are held or not. It predicts that the price process should have different stochastic properties for the stocking regime and for the stockout regime. Results show a higher-than-expected degree of persistence in the stockout regime.

Speculation, Commodity exchanges

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Commodity markets, price limiters and speculative price dynamics

Article Abstract:

A model for commodity markets is presented wherein consumers producers and speculators with different levels of risk aversion assess the commodity price fluctuations and develop price stabilization method. The bullish and bearish trends in the commodity markets are also analyzed with the help of the model.

Australia, Germany, Commodity & service prices, Company pricing policy, Commodity markets

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A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

Article Abstract:

This paper proposes a framework that systematically isolates permanent and transitory shocks from a system of integrated variables using a Vector Error Correction Model which incorporates cointegration restrictions.

United States, Spain, Statistical Data Included, Research, Econometrics, Analysis of variance, Vector analysis

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