Language:
English
Pages:
Online-Ressource
Titel der Quelle:
Journal of Econometrics
Angaben zur Quelle:
162 (2009) 1 ; 44-54, Online-Ressource
DDC:
306.3
Abstract:
Abstract: "The empirical relevance of models of competitive storage arbitrage in explaining commodity price behavior has been seriously challenged in a series of pathbreaking papers by Deaton and Laroque (1992, 1995, 1996). Here we address their major criticism, that the model is in general unable to explain the degree of serial correlation observed in prices of twelve major commodities. First, we present a simple numerical version of their model which, contrary to Deaton and Laroque (1992), can generate the high levels of serial correlation observed in commodity prices, if it is parameterized to generate realistic levels of price variation. Then, after estimating the Deaton and Laroque (1995, 1996) model using their data set, model specification and econometric approach, we show that use of a much finer grid to approximate the equilibrium price function yields quite different estimates for most commodities. Results are obtained for coffee, copper, jute, maize, palm oil, sugar and tin that s
Note:
Postprint
,
begutachtet (peer reviewed)
DOI:
10.1016/j.jeconom.2009.10.008
URN:
urn:nbn:de:0168-ssoar-268422
URL:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-268422
URL:
https://doi.org/10.1016/j.jeconom.2009.10.008
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