Advanced Search

Volatility and commodity price dynamics

Research and Teaching Output of the MIT Community

Show simple item record Pindyck, Robert S. en_US
dc.contributor.other Massachusetts Institute of Technology. Center for Energy and Environmental Policy Research. en_US 2009-04-03T17:04:50Z 2009-04-03T17:04:50Z 2001 en_US
dc.identifier 2001-007 en_US
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

Files in this item

Name Size Format Description
2001-007.pdf 584.6Kb PDF

This item appears in the following Collection(s)

Show simple item record