市场预期在商品价格动态中的作用:来自石油数据的证据

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2017-09-12 DOI:10.2139/ssrn.3039722

Xin Jin

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引用次数: 8

摘要

本文考察了市场预期对商品价格动态的贡献。提出了一个具有显性预期冲击和并发冲击的动态竞争存储框架来研究商品价格走势。这允许对预期对价格和库存的影响以及预期的估计进行精确的分析。应用到世界原油市场，发现1987 - 2014年市场预期对原油现货价格变动的贡献是有限的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data

This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an explicit expectations shock along with concurrent shocks to study the commodity price movements. This allows for a refined analysis of the expectations’ effect on price and inventory and the estimation of the expectations. Applied to the world crude oil market, it finds that the contribution of market expectations to the crude oil spot price movements is limited from 1987 to 2014.

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ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)

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