Looking for evidence of speculative stockholding in commodity markets

Journal of Economic Dynamics and Control

Volumn 20, Issue 1-3, 1996, Pages 123-143

  Ng, Serena ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Commodity price; Speculative storage; Threshold models

Indexed keywords

EID: 0029691219     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/0165-1889(94)00846-8     Document Type: Article

References (23)

1. Bevan, D.L., P. Collier, and J. Gunning, 1987, Consequences of a commodity boom in a controlled economy: Accumulation and redistribution in Keyna 1975-83, World Bank Economic Review 1, 489-514.
2. Chambers, M.J. and R. Bailey, 1993, Commodity prices subject to time dependent and heterogeneous disturbances, Mimeo. (University of Essex, Essex).
3. Chan, K.S., 1993, Consistency and limiting distribution of the least squares estimates of a threshold autoregressive model, Annals of Statistics 32, 520-533.
4. Deaton, A.S. and G. Laroque, 1992a, On the behavior of commodity prices, Review of Economic Studies 89, 1-23.
5. Deaton, A.S. and G. Laroque, 1992b, Estimating the commodity price model, RPDS working paper 154 (Princeton University, Princeton, NJ).
6. Engle, R., 1982, Autoregressive conditional heteroskedasticity with estimates of variance of U.K. inflation, Econometrica 50, 987-1007.
7. Ghosh, S., V. Gilbert, and A. Hughes Hallen, 1987, Stabilizing speculative commodity markets (Clarendon, Oxford).
8. Gilbert, C.L., 1993, Modelling market fundamentals: A model of the aluminum market, Working paper series of the network in financial markets 30 (European Science Foundation, London).
9. Gourieroux, C. and A. Monfort, 1992, Qualitative threshold ARCH models, Journal of Econometrics 52, 159-199.
10. Gustafson, R.L., 1958, Carryover levels for grains, Technical bulletin 1178 (U.S. Department of Agriculture, Washington, DC).
11. Hamilton, J., 1989, A new approach to the economic analysis of non-stationary time series and the business cycle, Econometrica 57, 357-384.
12. Lee, T.H., H. White, and C.W.J. Granger, 1993, Testing for neglected nonlinearity in time series models, Journal of Econometrics 56, 269-290.
13. Newbery, D. and J. Stiglitz, 1982, Optimal commodity stockpiling rules, Oxford Economic Papers 34, 403-427.
14. Pham, D.T., K. Chan, and H. Tong, 1991, Strong consistency of the least squares estimator for a non-stationary threshold autoregressive model, Statistica Sinica 1, 361-369.
15. Press, W.H., S. Teukolsky, W. Vetterling, and B. Flannery, 1992. Numerical recipies in C, 2nd ed. (Cambridge University Press, Cambridge).
16. Samuelson, P., 1957, Intertemporal price equilibrium: A prologue to the theory of speculation, Weltwirtschaftliches Archiv 79, 181-219.
17. Tong, H., 1990, Non-linear time series: A dynamical system approach (Oxford Science Publications, Oxford).
18. Tong, H. and K. Lim, 1980, Threshold autoregression, limit cycles and cyclical data, Journal of the Royal Statistical Society B 42, 245-292.
19. Tsay, R., 1989, Testing and modeling threshold autoregressive processes, Journal of the American Statistical Association 84, 231-240.
20. White, H., 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
21. Williams, J. and B. Wright, 1991, Storage and commodity markets (Cambridge University Press, Cambridge).
22. Williams, J.B., 1937, Speculation and the carryover, Quarterly Journal of Economics 50, 436-455.
23. Zakoïan, J., 1994, Threshold heteroskedastic models. Journal of Economic Dynamics and Control 18, 931-955.