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dc.contributor.authorPindyck, Robert S.en_US
dc.contributor.otherMassachusetts Institute of Technology. Center for Energy and Environmental Policy Research.en_US
dc.date.accessioned2009-04-03T17:04:50Z
dc.date.available2009-04-03T17:04:50Z
dc.date.issued2001en_US
dc.identifier2001-007en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/44979
dc.description.abstractCommodity 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.sponsorshipSupported by the MIT Center for Energy and Environmental Policy Research.en_US
dc.format.extent37, [1] pen_US
dc.publisherMIT Center for Energy and Environmental Policy Researchen_US
dc.relation.ispartofseriesMIT-CEEPR (Series) ; 01-007WP.en_US
dc.titleVolatility and commodity price dynamicsen_US
dc.typeWorking Paperen_US
dc.identifier.oclc52314488en_US


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