On the Behaviour of Commodity Prices

@inproceedings{Deaton1989OnTB,
  title={On the Behaviour of Commodity Prices},
  author={Angus S Deaton},
  year={1989}
}
This paper applies the standard rational expectations competitive storage model to the study of thirteen commodities. It explains the skewness, and the existence of rare but violent explosions in prices, coupled with a high degree of price autocorrelation in more normal times. A central feature of the model is the explicit recognition of the fact that it is impossible for the market as a whole to carry negative inventories, and this introduces an essential non-linearity which carries through… CONTINUE READING
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