How much of commodity price behavior can a rational expectations storage model explain?

Agricultural Economics

Volumn 33, Issue 3, 2005, Pages 289-303

  Peterson, Hikaru Hanawa ^a   Tomek, William G ^b  

^a KANSAS STATE UNIVERSITY   (United States)

^b Department of Obstetrics Gynecology   (United States)

Author keywords

Agricultural commodity prices; Rational expectations; Storage; U.S. corn market

Indexed keywords

COMMODITY MARKET; FOOD MARKET; POLICY IMPLEMENTATION; PRICE DETERMINATION; PRICE DYNAMICS; PRODUCTIVITY; RATIONALIZATION; SEASONAL VARIATION; STORAGE;

NORTH AMERICA; UNITED STATES;

ZEA MAYS;

EID: 33745192037     PISSN: 01695150     EISSN: 15740862     Source Type: Journal    
DOI: 10.1111/j.1574-0864.2005.00068.x     Document Type: Article

References (52)

1. Beck S., 2001. Autoregressive conditional heteroscedasticity in commodity spot prices. J. Appl. Econ. 16, 115 132.
2. Brennan M. J., 1958. The supply of storage. Amer. Econ. Rev. 48, 50 72.
3. Brorsen B. W. Irwin S. H., 1996. Improving the relevance of research on price forecasting and marketing strategies. Agric. Resour. Econ. Rev. 25, 68 75.
4. Chambers M. J. Bailey R. E., 1996. A theory of commodity price fluctuations. J. Poli. Econ. 104, 924 957.
5. Chavas J.-P. Holt M. T., 1990. Acreage decisions under risk: the case of corn and soybeans. Amer. J. Agric. Econ. 72, 529 538.
6. Chavas J.-P. Holt M. T., 1996. Economic behavior under uncertainty: a joint analysis of risk preferences and technology. Rev. Econ. Stat. 78, 329 335.
7. Dawkins C. Srinivasan T. N. Walley J., 2001. Calibration. In : Heckman J. J. Leamer E. ( Eds Handbook of Econometrics, Vol. 5, Chapter 58. Elsevier Science B.V., Amsterdam, pp. 3653 3703.
8. Deaton A. Laroque G., 1992. On the behavior of commodity prices. Rev. Econ. Stud. 59, 1 23.
9. Deaton A. Laroque G., 1995. Estimating a nonlinear rational expectations commodity price model with unobservable state variables. J. Appl. Econ. 10, S9 S40.
10. Deaton A. Laroque G., 1996. Competitive storage and commodity price dynamics. J. Poli. Econ. 104, 896 923.
11. Fackler P. L. Tian Y., 1999. Volatility models for commodity markets. In : Conference Proceedings of Applied Commodity Price Analysis, Forecasting, and Market Risk Management, 19-22 April 1999, Chicago, pp. 247 256.
12. Frechette D. L. Fackler P. L., 1999. What causes commodity price backwardation? Amer. J. Agric. Econ. 81, 761 771.
13. Garcia P. Irwin S. H. Leuthold R. M. Yang L., 1997. The value of public information in commodity futures markets. J. Econ. Behav. Org. 32, 559 570.
14. Gardner B. L. López R., 1996. The inefficiency of interest-rate subsidies in commodity price stabilization. Amer. J. Agric. Econ. 78, 508 516.
15. Goodwin B. K. Roberts M. C. Coble K. H., 2000. Measurement of price risk in revenue insurance: implications of distributional assumptions. J. Agric. Resour. Econ. 25, 195 214.
16. Gustafson R. L., 1958. Carryover Levels for Grains, Technical Bulletin No. 1178. U.S. Department of Agriculture, Washington, DC.
17. Holt M. T., 1994. Price-band stabilization programs and risk: an application to the U.S. corn market. J. Agric. Resour. Econ. 19, 239 254.
18. Holt M. T., 1999. A linear approximate acreage allocation model. J. Agric. Resour. Econ. 24, 383 397.
19. Holt M. T. Johnson S. R., 1989. Bounded price variation and rational expectations in an endogenous switching model of the U.S. corn market. Rev. Econ. Stat. 71, 605 613.
20. Irwin S. H. Zulauf C. R. Jackson T. E., 1996. Monte Carlo analysis of mean reversion in commodity futures prices. Amer. J. Agric. Econ. 78, 387 399.
21. Just R. E., 1975. Risk aversion under profit maximization. Amer. J. Agric. Econ. 57, 347 352.
22. Lee D. R. Helmberger P. G., 1985. Estimating supply response in the presence of farm programs. Amer. J. Agric. Econ. 67, 193 203.
23. Lence S. H. Hayenga M. L., 2001. On the pitfalls of multi-year rollover hedges: the case of hedge-to-arrive contracts. Amer. J. Agric. Econ. 83, 107 119.
24. Lence S. H. Hayes D. J., 2000. U.S. farm policy and the variability of commodity prices and farm revenues. In : Conference Proceedings of Applied Commodity Price Analysis, Forecasting, and Market Risk Management, 17-18 April 1999, Chicago, Online: AgEcon Search, Available at : http://agecon.lib.umn.edu/ cgi-bin/pdf_view.pl?paperid=2046 accessed June 2003.
25. Leuthold R. M. Junkus J. C. Cordier J. E., 1989. The Theory and Practice of Futures Markets. Lexington Books, New York, 410 pp.
26. Lin W. Westcott P. C. Skinner R. Sanford S. De La Torre Ugarte D. G., 2000. Supply response under the 1996 Farm Act and implications for the U.S. field crops sector, Technical Bulletin No. 1888. U.S. Department of Agriculture, Washington, DC.
27. Mas-Colell A. Whinston M. D. Green J. R., 1995. Microeconomic Theory. Oxford University Press, New York, 981 pp.
28. Michaelides A. Ng S., 2000. Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators. J. Econ. 96, 231 266.
29. Miranda M. J., 1998. Numerical strategies for solving the nonlinear rational expectations commodity market model. Comput. Econ. 11, 71 87.
30. Miranda M. J. Fackler P. L., 1999. Applied Computational methods - MATLAB Toolbox. MATLAB Programs Online : The Ohio State Universiy and North Carolina State University, Available at : http://aedc.osc.edu/class/aede802/miranda/ matlab.htm
31. Miranda M. J. Fackler P. L., 2002. Applied Computational Economics and Finance. MIT Press, Cambridge, MA, 510 pp.
32. Miranda M. J. Glauber J. W., 1993. Estimation of dynamic nonlinear rational expectations models of primary commodity markets with private and government stockholding. Rev. Econ. Stat. 75, 463 470.
33. Miranda M. J. Helmberger P. G., 1988. The effects of commodity price stabilization programs. Amer. Econ. Rev. 78, 46 58.
34. Muth J. F., 1961. Rational expectations and the theory of price movements. Econometrica 29, 315 335.
35. Myers R. J., 1994. Time series econometrics and commodity price analysis: a review. Rev. Market. Agric. Econ. 62, 167 181.
36. Ng S., 1996. Looking for evidence of speculative stockholding in commodity markets. J. Econ. Dynam. Control 20, 123 143.
37. Peterson H. H. Tomek W. G., 2000. Commodity price behavior: a rational expectations storage model for corn, Working Paper WP 2000-17, Department of Agricultural, Resources, and Managerial Economics, Cornell University, Ithaca, NY.
38. Pirrong C., 1999. Searching for the missing link: high frequency price dynamics and autocorrelations for seasonally produced commodities. Working Paper. John M. Olin School of Business, Washington University.
39. Routledge B. R. Seppi D. J. Spatt C. S., 2000. Equilibrium forward curves for commodities. J. Finance 55, 1297 1338.
40. Rui X. Miranda M. J., 1995. Commodity storage and interseasonal price dynamics. In : Conference Proceedings of Applied Commodity Price Analysis, Forecasting, and Marketing Risk Management, 24-25 April 1999, Chicago, pp. 44 53.
41. Samuelson P. A., 1965. Proof that properly anticipated prices fluctuate randomly. Industr. Manage. Rev. 6, 41 49.
42. Shonkwiler J. S. Maddala G. S., 1985. Modeling expectations of bounded prices: an application to the market for corn. Rev. Econ. Stat. 67, 697 702.
43. Streeter D. H. Tomek W. G., 1992. Variability in soybean futures prices: an integrated framework. J. Futures Markets 12, 705 728.
44. Subotnik A. Houck J. P., 1979. A quarterly econometric model for corn: a simultaneous approach to cash and futures markets, Technical Bulletin No. 318. Agricultural Experiment Station, University of Minnesota.
45. Sumner D. A. Mueller R. A., 1989. Are harvest forecasts news? USDA announcements and futures market reactions. Amer. J. Agric. Econ. 71, 1 8.
46. Tegene A. Huffman W. E. Miranowski J., 1988. Dynamic corn supply functions: a model with explicit optimization. Amer. J. Agric. Econ. 70, 103 111.
47. Telser L. G., 1958. Futures trading and the storage of cotton and wheat. J. Poli. Econ. 66, 233 255.
48. Tomek W. G. Myers R. J., 1993. Empirical analysis of agricultural commodity prices: a viewpoint. Rev. Agric. Econ. 15, 181 202.
49. Tomek W. G. Peterson H. H., 2001. Risk management in agricultural markets: a review. J. Futures Markets 21, 953 985.
50. Voituriez T., 2001. What explains price volatility changes in commodity market? Answers from the world palm-oil market. Agricultural Economics 25, 295 301.
51. Williams J. C. Wright B. D., 1991. Storage and Commodity Markets. Cambridge University Press, Cambridge, 502 pp.
52. Working H., 1949. The theory of price of storage. Amer. Econ. Rev. 39, 1254 1262.