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How much of commodity price behavior can a rational expectations storage model explain?



How much of commodity price behavior can a rational expectations storage model explain?



Staff Paper Department of Agricultural Economics, Kansas State University (04-04): 45 pp.



A rational expectations competitive storage model is applied to the US maize market to assess the aptness of this framework in explaining monthly price behaviour in an actual commodity market. Relative to previous models, extensive realism is added to the model in terms of how production activities and storage costs are specified. By modelling convenience yield, "backwardation" in prices between crop years does not depend on the unrealistic assumption of zero ending stocks.

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Accession: 004187915

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DOI: 10.1111/j.1574-0864.2005.00068.x



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