| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19463 |
| 来源ID | Working Paper 19463 |
| Effects of Speculation and Interest Rates in a \"Carry Trade\" Model of Commodity Prices | |
| Jeffrey A. Frankel | |
| 发表日期 | 2013-09-20 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants' expectations of future price changes on the other hand. It goes beyond past research by bringing to bear new data sources: survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk. Some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today's commodity prices. |
| 主题 | Environmental and Resource Economics ; Agriculture |
| URL | https://www.nber.org/papers/w19463 |
| 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/577137 |
| 推荐引用方式 GB/T 7714 | Jeffrey A. Frankel. Effects of Speculation and Interest Rates in a \"Carry Trade\" Model of Commodity Prices. 2013. |
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