Short-term price volatility and reversion rate in mineral commodity markets

作者: Diego García , Juan Ignacio Guzmán

DOI: 10.1007/S13563-019-00190-7

关键词: Time horizonMonetary economicsVolatility (finance)EconomicsMineral economicsMineral resource classificationEconometric modelDisequilibrium

摘要: The commodity price volatility is a critical characteristic of mineral markets, since it has planning as well financial implications for different market participants such governments, producers, investors, and consumers. This paper inquiries into the markets by filling gap between two main explanations available in economic literature: view economists, who establish that short-term arises mainly because this time horizon supply cannot adjust to demand (which associated with very small speed adjustment equilibrium), neoclassic microeconomic theorists, affirm adjusts instantly related high equilibrium). We developed conceptual model based on current understanding economics, but where equilibrium plays significant role setting prices. Based this, we posit larger reversion rates (i.e., necessary achieve long-term price) have smaller volatility. By using cross-sectional econometric 50 commodities period 1900–2015, found statistical support an inverse relationship rates, which supports our hypothesis.

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