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Osmundsen, Kjartan Kloster, Kleppe, Tore Selland, Liesenfeld, Roman ORCID: 0000-0001-6996-6215 and Oglend, Atle (2021). Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices. Econometrics, 9 (4). BASEL: MDPI. ISSN 2225-1146

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Abstract

We propose a State-Space Model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions and adds to previous deterministic trend specifications of the storage model. For a Bayesian posterior analysis of the SSM, which is nonlinear in the latent states, we used a Markov chain Monte Carlo algorithm based on the particle marginal Metropolis-Hastings approach. An empirical application to four commodity markets showed that the stochastic trend SSM is favored over deterministic trend specifications. The stochastic trend SSM identifies structural parameters that differ from those for deterministic trend specifications. In particular, the estimated price elasticities of demand are typically larger under the stochastic trend SSM.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Osmundsen, Kjartan Kloster UNSPECIFIED UNSPECIFIED UNSPECIFIED Kleppe, Tore Selland UNSPECIFIED UNSPECIFIED UNSPECIFIED Liesenfeld, Roman UNSPECIFIED orcid.org/0000-0001-6996-6215 UNSPECIFIED Oglend, Atle UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-573420
DOI:	10.3390/econometrics9040040
Journal or Publication Title:	Econometrics
Volume:	9
Number:	4
Date:	2021
Publisher:	MDPI
Place of Publication:	BASEL
ISSN:	2225-1146
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language LIKELIHOOD; VOLATILITY; INFERENCE; BEHAVIOR; FUTURES Multiple languages Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/57342