[经管营销]Volatility and Commodity Price Dynamics.pdfVIP

VOLATILITY AND COMMODITY PRICE DYNAMICS∗ by Robert S. Pindyck Massachusetts Institute of Technology Cambridge, MA 02142 This draft: August 19, 2001 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 production: 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. JEL Classification Numbers: G13; L71, Q40 Keywords: Commodity prices, futures markets, price volatility, inventories. ∗This paper was written while the author was a Visiting Professor at the Harvard Business School, and the hospitality of that institution is gratefully acknowledged. I am also grateful to M.I.T.’s Center for Energy and Environmental Policy Research for its financial support of the research leading to this paper, to Richard Farmer, Kenneth French and Christopher Gilbert for helpful comments and suggestions, and to Nicola Stafford for her outstanding research assistance. 1 1 Introduction. Most commodity markets are characterized by periods