Volatility and commodity price dynamics

dc.contributor.author	Pindyck, Robert S.	en_US
dc.contributor.other	Massachusetts Institute of Technology. Center for Energy and Environmental Policy Research.	en_US
dc.date.accessioned	2009-04-03T17:04:50Z
dc.date.available	2009-04-03T17:04:50Z
dc.date.issued	2001	en_US
dc.identifier	2001-007	en_US
dc.identifier.uri	http://hdl.handle.net/1721.1/44979
dc.description.abstract	Commodity prices tend to be volatile, and volatility itself varies over time. changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of productions: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of volatility in short-run commodity market dynamics, as well as the determinants of volatility itself. Specifically, I develop a model describing the joint dynamics of inventories, spot and futures prices, and volatility, and estimate it using daily and weekly data for the petroleum complex: crude oil, heating oil, and gasoline.	en_US
dc.description.sponsorship	Supported by the MIT Center for Energy and Environmental Policy Research.	en_US
dc.format.extent	37, [1] p	en_US
dc.publisher	MIT Center for Energy and Environmental Policy Research	en_US
dc.relation.ispartofseries	MIT-CEEPR (Series) ; 01-007WP.	en_US
dc.title	Volatility and commodity price dynamics	en_US
dc.type	Working Paper	en_US
dc.identifier.oclc	52314488	en_US