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

Xin Jin* (Corresponding Author)

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)
5 Downloads (Pure)

Abstract

This paper examines the contribution of market expectations to commodity price dynamics. It proposes a dynamic competitive storage framework with an expectations shock explicitly 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.
Original languageEnglish
Pages (from-to)1-18
Number of pages18
JournalJournal of International Money and Finance
Volume90
Early online date7 Sept 2018
DOIs
Publication statusPublished - 1 Feb 2019

Bibliographical note

This is an updated version of the paper previously circulated as University of Aberdeen Business School Discussion Paper in Economics No 16-10 (ISSN 0143-4543).

The author is grateful to Nathan Balke at Southern Methodist University for advice and suggestions. All errors and mistakes are the author’s.

Keywords

  • commodity spot price
  • commodity inventory
  • expectations shock
  • dynamic equilibrium model
  • state space model
  • Dynamic equilibrium model
  • Commodity inventory
  • State space model
  • Expectations shock
  • Commodity spot price

Fingerprint

Dive into the research topics of 'The Role of Market Expectations in Commodity Price Dynamics: Evidence from Oil Data'. Together they form a unique fingerprint.

Cite this