The role of market expectations in commodity price dynamics: Evidence from oil data

Xin Jin

doi:10.1016/j.jimonfin.2018.09.002

The role of market expectations in commodity price dynamics: Evidence from oil data

Xin Jin^*

^*Corresponding author for this work

University of Aberdeen

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1-18
Number of pages	18
Journal	Journal of International Money and Finance
Volume	90
DOIs	https://doi.org/10.1016/j.jimonfin.2018.09.002
Publication status	Published - Feb 2019
Externally published	Yes

Keywords

Commodity inventory
Commodity spot price
Dynamic equilibrium model
Expectations shock
State space model

Access to Document

10.1016/j.jimonfin.2018.09.002

Cite this

@article{445a561d625b4f6da2da12a992427e60,

title = "The role of market expectations in commodity price dynamics: Evidence from oil data",

abstract = "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{\textquoteright} 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.",

keywords = "Commodity inventory, Commodity spot price, Dynamic equilibrium model, Expectations shock, State space model",

author = "Xin Jin",

note = "Publisher Copyright: {\textcopyright} 2018",

year = "2019",

month = feb,

doi = "10.1016/j.jimonfin.2018.09.002",

language = "English",

volume = "90",

pages = "1--18",

journal = "Journal of International Money and Finance",

issn = "0261-5606",

}

TY - JOUR

T1 - The role of market expectations in commodity price dynamics

T2 - Evidence from oil data

AU - Jin, Xin

PY - 2019/2

Y1 - 2019/2

N2 - 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.

AB - 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.

KW - Commodity inventory

KW - Commodity spot price

KW - Dynamic equilibrium model

KW - Expectations shock

KW - State space model

UR - http://www.scopus.com/inward/record.url?scp=85054036443&partnerID=8YFLogxK

U2 - 10.1016/j.jimonfin.2018.09.002

DO - 10.1016/j.jimonfin.2018.09.002

M3 - Article

AN - SCOPUS:85054036443

SN - 0261-5606

VL - 90

SP - 1

EP - 18

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

ER -

The role of market expectations in commodity price dynamics: Evidence from oil data

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this