A staggered pricing approach to modeling speculative storage: Implications for commodity price dynamics

Arbeitspapier

This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity price dynamics. Incorporating this type of friction into the model is motivated by its ability to increase price stickiness which, gives rise to a higher degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by the simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2013-8

Classification and Topics

• Classification: Wirtschaft ; Agriculture: Aggregate Supply and Demand Analysis; Prices ; Statistical Simulation Methods: General ; Macroeconomics: Consumption; Saving; Wealth ; Economic Development: Agriculture; Natural Resources; Energy; Environment; Other Primary Products ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: commodity price determination ; staggered pricing ; high persistence ; conditional heteroskedasticity ; simulated method of moments

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Assa, Hirbod ; Dabbous, Amal ; Gospodinov, Nikolay
• Event: Veröffentlichung
• (who): Federal Reserve Bank of Atlanta
• (where): Atlanta, GA
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/101005
• Last update: 10.03.2025, 11:42 AM CET