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 |