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dc.contributor.authorPindyck, Robert S.en_US
dc.date.accessioned2009-12-15T23:55:39Z
dc.date.available2009-12-15T23:55:39Z
dc.date.issued1991en_US
dc.identifier91-008en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/50164
dc.description.abstractThe present value model says that an asset's price equals the sum of current and future discounted expected future payoffs from ownership of the asset. I explore the limits of the present value model by testing its ability to explain the pricing of storable commodities. For commodities the payoff stream is the convenience yield that accrues from holding inventories, and it can be measured directly from spot and future prices. The present value model imposes restrictions on the joint dynamics of spot and future prices, which I test for four commodities. I find a close conformance to the model for heating oil, but not for copper or lumber, and especially not for gold. The pattern is the same when one looks at the serial dependence of excess returns. These results suggest that for three of the four commodities, prices at least temporarily deviate from fundamentals.en_US
dc.description.sponsorshipSupported by the National Science Foundation. Supported by M.I.T.'s Center for Energy Policy Research.en_US
dc.format.extent34 pen_US
dc.publisherMIT Center for Energy and Environmental Policy Researchen_US
dc.relation.ispartofseriesWorking paper (Massachusetts Institute of Technology. Center for Energy Policy Research) ; MIT-CEPR 91-008.en_US
dc.titleThe present value model of rational commodity pricingen_US
dc.typeWorking Paperen_US
dc.identifier.oclc28596165en_US


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