The empirical relevance of the competitive storage model
竞争性储藏模型的实证相关性AI 解读 ↓
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分类依据与纠错
AI 根据所提供的论文材料归类：摘要直接涉及均衡储藏模型的参数估计，以及商品价格序列相关性的解释。
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竞争性储藏模型的实证相关性
- 研究问题
- 竞争性储藏套利模型能否解释大宗商品价格的高序列相关性，以及此前的负面结论是否受数值近似精度影响？
- 方法与思路
- 作者先用数值模型考察价格波动与序列相关性，再沿用既有数据和估计方法，以更细网格近似均衡价格函数并重新估计。
- 材料陈述的贡献
- 摘要称细化网格显著改变多数商品的参数估计，部分商品支持正的恒定边际储藏成本、无损耗设定，并匹配价格序列相关性。
- 阅读关注点
- 应核对均衡价格函数的求解与网格收敛、参数识别和模型拟合指标，以及支持模型的商品与其他商品之间的差异。
- 阅读边界
- 仅依据所给出版社摘要；摘要未提供网格精度、参数不确定性或完整拟合结果，不能推断模型对所有商品均适用。
原文摘要
The empirical relevance of models of competitive storage arbitrage in explaining commodity price behavior has been seriously challenged in a series of pathbreaking papers by (Deaton and Laroque, 1992), (Deaton and Laroque, 1995) and (Deaton and Laroque, 1996). Here we address their major criticism, that the model is in general unable to explain the degree of serial correlation observed in the prices of twelve major commodities. First, we present a simple numerical version of their model which, contrary to Deaton and Laroque (1992), can generate the high levels of serial correlation observed in commodity prices, if it is parameterized to generate realistic levels of price variation. Then, after estimating the (Deaton and Laroque, 1995) and (Deaton and Laroque, 1996) model using their data set, model specification and econometric approach, we show that the use of a much finer grid to approximate the equilibrium price function yields quite different estimates for most commodities. Results are obtained for coffee, copper, jute, maize, palm oil, sugar and tin that support the specifications of the storage model with positive constant marginal storage cost and no deterioration as in Gustafson (1958a). Consumption demand has a low response to price and, except for sugar, stockouts are infrequent. The observed magnitudes of serial correlation of price match those implied by the estimated model.