TY  - JOUR
AU  - Deaton,Angus
AU  - Laroque,Guy
TI  - On The Behavior of Commodity Prices
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3439
PY  - 1990
Y2  - September 1990
UR  - http://www.nber.org/papers/w3439
L1  - http://www.nber.org/papers/w3439.pdf
N1  - Author contact info:
Angus S. Deaton
328 Wallace Hall
Woodrow Wilson School
Princeton University
Princeton, NJ  08544-1013
Tel: 609/258-5967
Fax: 609/258-5974
E-Mail: deaton@princeton.edu

guy laroque
University College London
Department of Economics
Gower Street
London, ENGLAND
E-Mail: laroque@ensae.fr
AB  - The classical theory of commodity price determination integrates myopic supply and demand on the one hand with competitive storage (speculation) under rational expectations on the other. Taking into account the fact that inventories mist; be non-negative, this paper derives from the theory testable implications on the behavior of prices, and makes a first attempt to confront these implications with the empirical evidence. The nonlinearities turn out to be a crucial ingredient in matching the stylized facts, particularity the asymmetries and the sharp upward flares that characterize many commodity prices. The model, simple as it is, goes a long way in reproducing the main features of the data for a range of commodities.
ER  -