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Volatility and commodity price dynamics

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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


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