| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19037 |
| 来源ID | Working Paper 19037 |
| Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices. | |
| Eugenio S. A. Bobenrieth; Juan R. A. Bobenrieth; Brian D. Wright | |
| 发表日期 | 2013-05-09 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are unbounded. We derive its implications for price time series and empirical tests of price behavior. In this model commodity price is equal to marginal consumption value, and hence bubbles as defined in financial economics cannot occur. However the model generates episodes of price runs that could be characterized as "explosive" and might seem to be bubble-like. At sufficiently long holding periods, a price path can yield average returns consistent with mean reversion, even though the long run expectation of price is infinite. |
| 主题 | Econometrics ; Estimation Methods ; Environmental and Resource Economics ; Agriculture |
| URL | https://www.nber.org/papers/w19037 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576711 |
| 推荐引用方式 GB/T 7714 | Eugenio S. A. Bobenrieth,Juan R. A. Bobenrieth,Brian D. Wright. Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices.. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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